/raid1/www/Hosts/bankrupt/TCR_Public/180304.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, March 4, 2018, Vol. 22, No. 62
Headlines
AMMC CLO 22: S&P Assigns Prelim. BB(sf) Rating on Class E Notes
APIDOS CLO XII: Moody's Assigns B3 Rating to Class F-R Notes
APIDOS CLO: Moody's Assigns Ba2(sf) Rating to Class E Notes
ARBOR REALTY 2017-FL3: DBRS Finalizes BB(low) Rating on E Notes
BANC OF AMERICA 2004-1: S&P Hikes Class H Certs Rating to CCC(sf)
BANC OF AMERICA 2004-4: Fitch Hikes Rating on Cl. H Certs to CCC
BARINGS CLO 2015-I: Moody's Assigns B3 Rating to Class F-R Notes
BBCMS TRUST 2018-RRI: S&P Assigns B-(sf) Rating on Class F Certs
BCC FUNDING XIV: Moody's Assigns B2 Rating to Class E Notes
BENCHMARK 2018-B2: Fitch Assigns 'Bsf' Rating to Cl. G-RR Certs
BENEFIT STREET XIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
BX COMMERCIAL 2018-BIOA: Fitch to Rate 2 Certificate Classes B-sf
CALLIDUS ABL 2016-1: DBRS Confirms BB Rating on Class E Loans
CBA COMMERCIAL 2006-1: Moody's Affirms C Rating on Class X-1 Certs
CD 2006-CD2: Moody's Affirms C(sf) Rating on Class X Notes
CITIGROUP COMMERCIAL 2018-B2: Fitch to Rate Class F Certs 'B-sf'
COLONY MORTGAGE 2014-FL1: S&P Affirms B(sf) Rating on Cl. F Notes
COMM 2014-UBS2: DBRS Confirms B(low) Rating on Class F Certs
COOK PARK: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
CREDIT SUISSE 2003-6: Moody's Hikes Cl. M-1 Debt Rating From Ba1
DCAL AVIATION 2015: S&P Affirms BB(sf) Rating on Class C-1 Notes
EQUIFIRST LOAN 2007-1: Moody's Hikes Class A-1 Debt Rating to B2
EVERBANK MORTGAGE 2018-1: Moody's Assigns Ba2 Rating to B-4 Debt
FLAGSTAR MORTGAGE 2018-1: Moody's Assigns B2 Rating on B-5 Debt
HPS LOAN 6-2015: S&P Assigns Prelim. B-(sf) Rating on Cl. E-R Notes
JP MORGAN 2007-CIBC19: Moody's Affirms C Ratings on 3 Tranches
JP MORGAN 2017-6: DBRS Finalizes Prov. B Rating on Cl. B-5 Certs
JP MORGAN 2018-ASH8: S&P Assigns B-(sf) Rating on Class F Certs
LB-UBS COMMERCIAL 2007-C1: Fitch Cuts Class H Debt Rating to D
MASTR ADJUSTABLE 2005-4: Moody's Withdraws Caa3 on 2 Tranches
MERRILL LYNCH 2005-MCP1: S&P Raises B(sf) Rating on Class F Certs
MONROE CAPITAL VI: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
MORGAN STANLEY 1999-WF1: Moody's Lowers Cl. X Certs Rating to Ca
MORGAN STANLEY 2011-C2: Fitch Cuts Class H Certs Rating to CCC
MORGAN STANLEY 2017-HR2: DBRS Finalizes B Rating on Cl. H-RR Certs
MSBAM 2014-C19: DBRS Confirms B Rating on Class X-F Certs
NXT CAPITAL 2014-1: Moody's Affirms Ba2 Rating on Class E Notes
NZCG FUNDING: Moody's Assigns Ba3 Rating to Class D-R Notes
OCP CLO 2014-5: S&P Assigns B-(sf) Rating on Class E-R Notes
OCTAGON INVESTMENT 25: Moody's Assigns B1 Rating to Class F-N Notes
OCTAGON INVESTMENT XVII: S&P Assigns B-(sf) Rating on F-R2 Notes
ONEMAIN FINANCIAL 2018-1: S&P Assigns BB(sf) Rating on Cl. E Notes
OZLM XXII: Moody's Assigns B3 Rating to Class E Notes
PREFERREDPLUS TRUST: S&P Lowers CZN-1 Certs Rating to 'B-'
SACO I 2005-GP1: Moody's Hikes Ratings on 2 Tranches From Ba2
SEQUOIA MORTGAGE 2018-3: Moody's Assigns Ba3 Rating to B-4 Debt
SEQUOIA MORTGAGE 2018-CH1: Moody's Gives Ba3 Rating to Cl. B-5 Debt
SLM STUDENT 2008-4: Fitch Affirms 'Bsf' Rating on Class B Notes
TOWD POINT 2018-1: Moody's Assigns Ba3 Rating to Class B1 Debt
UBS COMMERCIAL 2018-C8: Fitch Assigns B- Rating to Cl. F-RR Certs
UBSCM 2018-NYCH: S&P Assigns B(sf) Rating on $31MM Class F Certs
VENTURE XII: S&P Assigns BB(sf) Rating on Class E-RR Notes
WAMU COMMERCIAL 2007-SL2: Fitch Affirms CC Rating on Cl. F Notes
[*] Moody's Takes Action on $1.5BB of RMBS Issued 2005-2007
[*] Moody's Takes Action on $129.4MM of RMBS Issued 2005-2007
[*] Moody's Takes Action on $138MM of Subprime RMBS Issued 2006
[*] Moody's Takes Action on $436MM of RMBS Issued 2003-2005
[*] Moody's Takes Action on $80M of Subprime RMBS Issued 2002-2005
[*] Moody's Takes Action on $857MM of RMBS Issued 2001-2007
[*] S&P Puts 31 Ratings on 16 US RMBS Deals on Watch Positive
[*] S&P Takes Various Actions on 108 Classes From 25 US RMBS Deals
[*] S&P Takes Various Actions on 118 Classes From 25 US RMBS Deals
*********
AMMC CLO 22: S&P Assigns Prelim. BB(sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AMMC CLO 22
Ltd./AMMC CLO 22 LLC's $411 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
The preliminary ratings are based on information as of Feb. 26,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
AMMC CLO 22 Ltd./AMMC CLO 22 LLC Class
Rating Amount
(mil. $)
A AAA (sf) 286.00
B AA (sf) 56.00
C (deferrable) A (sf) 27.00
D (deferrable) BBB (sf) 23.00
E (deferrable) BB (sf) 19.00
Subordinated notes NR 52.00
NR--Not rated.
APIDOS CLO XII: Moody's Assigns B3 Rating to Class F-R Notes
------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes (the "Refinancing Notes") issued by Apidos
CLO XII (the "Issuer"):
Moody's rating action is as follows:
US$5,500,000 Class X Senior Secured Floating Rate Notes Due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$320,500,000 Class A-R Senior Secured Floating Rate Notes Due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$58,500,000 Class B-R Senior Secured Floating Rate Notes Due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$31,500,000 Class C-R Mezzanine Deferrable Floating Rate Notes
Due 2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$30,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes
Due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$22,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes
Due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$8,500,000 Class F-R Mezzanine Deferrable Floating Rate Notes Due
2031 (the "Class F-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
CVC Credit Partners, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on February 22, 2018
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on April 18, 2013 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes to redeem in full the Refinanced Original
Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: reinstatement and extension of the
reinvestment period; extension of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2751
Weighted Average Spread (WAS): 3.05%
Weighted Average Recovery Rate (WARR): 48.75%
Weighted Average Life (WAL): 9.14 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2751 to 3164)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: 0
Class B-R Notes: -1
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: 0
Class F-R Notes: 0
Percentage Change in WARF -- increase of 30% (from 2751 to 3576)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-R Notes: -1
Class B-R Notes: -3
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
Class F-R Notes: -3
APIDOS CLO: Moody's Assigns Ba2(sf) Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Apidos CLO Funding (RR) Subsidiary, LLC.
Moody's rating action is as follows:
US$16,025,000 Series A/Class A Notes due 2031 (the "Class A
Notes"), Assigned Aaa (sf)
US$2,925,000 Series A/Class B Notes due 2031 (the "Class B Notes"),
Assigned Aa2 (sf)
US$1,575,000 Series A/Class C Notes due 2031 (the "Class C Notes"),
Assigned A2 (sf)
US$1,500,000 Series A/Class D Notes due 2031 (the "Class D Notes"),
Assigned Baa3 (sf)
US$1,100,000 Series A/Class E Notes due 2031 (the "Class E Notes"),
Assigned Ba2 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein as the "Series
A Rated Notes". The Series A Rated Notes is the first series in a
program of financing for CLOs to be issued by the Issuer.
RATINGS RATIONALE
Moody's ratings of the Series A Rated Notes address the expected
losses posed to noteholders. The ratings reflect the credit risks
of the collateral assets securing the notes, the Issuer's legal
structure, and the characteristics of the Issuer's assets.
The Issuer is a wholly-owned subsidiary of CVC Credit Partners
Investment Holdings II Limited, and an affiliate of CVC Credit
Partners, LLC, the collateral manager of Apidos CLO XII (the
"Underlying CLO"). The proceeds from the issuance of the Series A
Rated Notes will be used to finance the purchase of a 5% vertical
slice of all the CLO tranches (the "Underlying CLO Notes") issued
by the Underlying CLO, in order for the Issuer to comply with the
retention requirements of the US Risk Retention Rules.
The Series A Rated Notes are collateralized primarily by the
Underlying CLO Notes. In addition, the Series A Rated Notes benefit
from additional credit enhancement provided by (i) 100% of the
senior management fees from the Underlying CLO (the "Pledged
Management Fee"), (ii) the Class M Notes issued by the Underlying
CLO, (iii) a 5% interest in the Class X-R Notes, the Class F-R
Notes and the subordinated notes issued by the Underlying CLO
(collectively, the "Retention Holder Notes"), and (iv) in the event
the Series A Rated Notes experience a default, certain excess
collections from other, non-defaulted Series' of notes issued by
the Issuer.
On each payment date, each class of Series A Rated Notes will
receive an interest payment equal to 5% of the interest payment
paid to the entire class of the related Underlying CLO Notes plus a
specified spread. In the event of a permitted refinancing or
re-pricing, the respective interest amount each class of Series A
Rated Notes receives will be reduced by the amount the respective
refinancing or re-pricing reduced the interest rates on the
Underlying CLO Notes.
The Issuer's priority of payments includes an interest trapping
mechanism following the occurrence of certain events (the
"Cash-Trap Events"). Upon a Cash-Trap Event, after payment of
interest on the Series A Rated Notes, all remaining interest
proceeds from the Underlying CLO Notes, the Retention Holder Notes
and the Pledged Management Fee will be trapped in a cash-trap
account. Cash-Trap Events include, but are not limited to, failure
of an overcollateralization test, deferral of interest on certain
Underlying CLO Notes, and certain collateral manager-related
events. Unless the Cash-Trap Event is cured, amounts in the
cash-trap account will be applied to repay the Series A Rated Notes
at maturity or redemption.
Although the Series A Rated Notes constitute full recourse
indebtedness of the Issuer, the holders of the Series A Rated Notes
have no right to foreclose upon the assets of the Issuer's other
Series and have limited rights to assets constituting excess
collections from other Series. Holders of other Series of Debt of
the Issuer are likewise precluded from foreclosing on the assets of
the Series A Rated Notes and are limited in their rights to excess
collections from the Series A Rated Notes.
In addition to a variety of other factors, Moody's analysis of the
Issuer's bankruptcy remoteness took into account a substantive
consolidation legal opinion. The opinion provided comfort that the
Issuer's structure and separateness features minimize the risk that
a bankruptcy court would order the consolidation of the assets and
liabilities of the Issuer's parent, the collateral manager (who is
also the guarantor/demand note payor) with the Issuer.
Moody's modeled the Series A Rated Notes using a cash flow model
based on the Binomial Expansion Technique, as described in Section
2.3.2.1 of the "Moody's Global Approach to Rating Collateralized
Loan Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2751
Weighted Average Spread (WAS): 3.05%
Weighted Average Recovery Rate (WARR): 48.75%
Weighted Average Life (WAL): 9.14 years.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Series A Rated Notes is subject to
uncertainty. The performance of the Series A Rated Notes is
sensitive to the performance of Underlying CLO, which in turn
depends on economic and credit conditions that may change. The
Manager's investment decisions and management of the Underlying CLO
will also affect the performance of the Series A Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Series A Rated Notes.
This sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Series A
Rated Notes (shown in terms of the number of notch difference
versus the current model output, whereby a negative difference
corresponds to higher expected losses), assuming that all other
factors are held equal:
Percentage Change in WARF -- increase of 15% (from 2751 to 3164)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Percentage Change in WARF -- increase of 30% (from 2751 to 3576)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -2
ARBOR REALTY 2017-FL3: DBRS Finalizes BB(low) Rating on E Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Secured Floating-Rate Notes (the Notes) to be issued by
Arbor Realty Commercial Real Estate Notes 2017-FL3, Ltd. (the
Issuer):
-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class B Secured Floating Rate Notes at AA (low) (sf)
-- Class C Secured Floating Rate Notes at A (low) (sf)
-- Class D Secured Floating Rate Notes at BBB (low) (sf)
-- Class E Floating Rate Notes at BB (low) (sf)
All trends are Stable.
The transaction is a managed collateralized loan obligation pool
that totals $480.0 million. The initial collateral consists
primarily of multifamily properties, though there is also one
self-storage property, one full-service hotel and one single-tenant
office property, with the vast majority having some level of
transition or stabilization, which is the premise for seeking
floating-rate short-term debt. The transaction has a replacement
period expected to expire in December 2020. Reinvestment is subject
to Eligibility Criteria that includes a rating agency condition
(RAC) by DBRS. The initial pool consists of 16 loans totaling
$368.3 million. Most of the loans are secured by current
cash-flowing assets in a period of transition, though there are
five loans with no current in-place cash flow; however, all loans
have viable plans and a viable loan structure to stabilize and
improve the asset value. DBRS analyzed and modeled the existing
loan pool in addition to loans that can be purchased subject to the
Eligibility Criteria in the Post Closing Acquisition Period (PCAP).
DBRS assumes that the loans purchased within the PCAP will migrate
to the least-favorable criteria, as defined in the Eligibility
Criteria, with consideration given to the initial pool as well.
DBRS also anticipates that the pool could become more concentrated
in the future in terms of sponsor concentrations or additional
concentrations (property type, loan size and geography); as a
result, DBRS will have the ability to provide a RAC on loans that
are being added to the pool during the replacement period in order
to evaluate any credit drift caused by loan concentrations.
Following the replacement period, the transaction will have a
sequential-pay structure.
The floating-rate mortgages were analyzed to determine the
probability of loan default over the term of the loan and its
refinance risk at maturity based on a fully extended loan term. As
a result of the floating-rate nature of the loans, the index DBRS
used (one-month LIBOR) was the lower of a DBRS stressed rate that
corresponded to the remaining fully extended term of the loans or
the strike price of the interest rate cap with the respective
contractual loan spread added to determine a stressed interest rate
over the loan term. When the cut-off balances were measured against
the DBRS In-Place net cash flow (NCF) and their respective stressed
constants, all loans in the initial pool had term debt service
coverage ratios (DSCRs) below 1.15 times (x), a threshold
indicative of a higher likelihood of term default. Additionally, to
assess refinance risk, DBRS applied its refinance constants to the
balloon amounts, resulting in 14 loans, or 92.4% of the initial
pool balance, having refinance DSCRs below 1.00x, relative to the
DBRS Stabilized NCF. The properties are often transitioning with
potential upside in the cash flow; however, DBRS does not give full
credit to the stabilization if there are no holdbacks or if other
loan structural features in place are insufficient to support such
treatment. Furthermore, even with structure provided, DBRS
generally does not assume the assets to stabilize above market
levels.
The Issuer, servicer, mortgage loan seller and advancing agent are
related parties and non-rated entities. Arbor Realty SR Inc. has a
proven track record with several collateralized loan obligation
platforms that performed well in 2004, 2005 and 2006. In addition
to recently issued transactions in 2012 and 2013, DBRS rated six
transactions, Arbor Realty Collateralized Loan Obligation 2014-1,
Ltd., Arbor Realty Commercial Real Estate Notes 2015-FL1, Ltd.,
Arbor Realty Commercial Real Estate Notes 2015-FL2, Ltd., Arbor
Realty Commercial Real Estate Notes 2016-FL1, Ltd., Arbor Realty
Commercial Real Estate Notes 2017-FL1, Ltd. and Arbor Commercial
Real Estate Notes 2017-FL2, Ltd. DBRS has reviewed Arbor
Multifamily Lending, LLC's servicing platform (and special
servicing) and finds it to be an acceptable servicer. The Class E
Notes and the preferred shares will be retained by ARMS Equity, an
affiliate of the trust asset seller. The non-offered notes and
preferred shares represent 25.8% of the transaction balance.
All but three loans in the initial pool are secured by multifamily
properties. Exposure to hotel, industrial, retail, office, student
housing and self-storage properties in the trust is capped at 25.0%
during the reinvestment period per the Eligibility Criteria. Eleven
loans, totaling 62.4% of the initial pool balance, represent
acquisition financing with borrowers contributing equity to the
transaction. The overall weighted-average (WA) DBRS Term DSCR and
DBRS Refi DSCR of 0.41x and 0.78x, respectively, and corresponding
DBRS Debt Yield and Exit Debt Yield of 3.0% and 6.4%, respectively,
are considered very high-leverage financing. The DBRS Term DSCR and
DBRS Refi DSCR are based on the DBRS In-Place NCF and debt service
calculated using a stressed interest rate, respectively. The WA
stressed rate used of 7.63% is 1.58% greater than the current WA
interest rate of 6.05% (based on WA mortgage spread and an assumed
1.35% one-month LIBOR index). Regarding the significant refinance
risk indicated by the DBRS Refi DSCR of 0.78x, the credit
enhancement levels are reflective of the increased leverage that is
substantially higher than in recent fixed-rate transactions. The
assets are generally well positioned to stabilize, and any realized
cash flow growth would help to offset a rise in interest rates and
also improve the overall debt yield of the loans. DBRS associates
its probability of default based on the assets' in-place cash flow,
which does not assume that the stabilization plan and cash flow
growth will ever materialize.
BANC OF AMERICA 2004-1: S&P Hikes Class H Certs Rating to CCC(sf)
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of commercial
mortgage pass-through certificates from Banc of America Commercial
Mortgage Inc.'s series 2004-1, a U.S. commercial mortgage-backed
securities (CMBS) transaction.
For the upgrades, S&P's expectation of credit enhancement was in
line with the raised rating levels. The upgrades also reflect the
reduction in specially serviced assets, as well as the increase in
defeased loans.
S&P said, "Class H was previously lowered to 'D (sf)' due to
accumulated interest shortfalls that we expected to remain
outstanding for a prolonged period of time. S&P raised its rating
on the class to 'CCC (sf)' because the interest shortfalls have
been fully resolved, and we do not believe, at this time, a further
default of the class is virtually certain.
"While available credit enhancement levels suggest further positive
rating movements on classes G and H, our analysis also considered
the susceptibility to reduced liquidity support due to potential
refinancing risk on the largest loan, Mercantile East Shopping
Center ($26.9 million, 85.7%)."
The Mercantile East Shopping Center loan is secured by a
261,260-sq.-ft. retail property in Ladera Ranch, Calif. The loan
matures in October 2018. Our concern stems from the fact that while
the property is economically 98% occupied per the most recent rent
roll as of October 2017, the physical occupancy is only 62% because
Kohl's vacated the property in June 2016. Kohl's
occupies about 36% of the collateral space, and the space remains
dark.
TRANSACTION SUMMARY
As of the Feb. 12, 2018, trustee remittance report, the collateral
pool balance was $31.4 million, which is 2.4% of the pool balance
at issuance. The pool currently includes four loans, down from 110
loans at issuance. Two loans ($4.2 million, 13.4%) are defeased,
and one ($26.9 million, 85.7%) is on the master servicer's
watchlist. No loans are with the special servicer, LNR Partners
LLC.
S&P calculated a 1.50x S&P Global Ratings weighted average debt
service coverage (DSC) and 51.1% S&P Global Ratings weighted
average loan-to-value (LTV) ratio using a 7.50% S&P Global Ratings
weighted average capitalization rate. The DSC, LTV, and
capitalization rate calculations exclude the two defeased loans.
To date, the transaction has experienced $57.4 million in principal
losses, or 4.3% of the original pool trust balance.
RATINGS LIST
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-1
Rating
Class Identifier To From
G 05947UQC5 A+ (sf) BB (sf)
H 05947UQE1 CCC (sf) D (sf)
BANC OF AMERICA 2004-4: Fitch Hikes Rating on Cl. H Certs to CCC
----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed six classes of Banc of
America Commercial Mortgage Inc. (BACM 2004-4) commercial mortgage
pass-through certificates series 2004-4.
KEY RATING DRIVERS
Litigation Resolution: The upgrade reflects the resolution of
litigation regarding a formerly disposed loan since Fitch's last
rating action with better than expected recoveries to the trust.
Class H Capped: Due to the concentrated nature of the pool, Fitch
performed a sensitivity analysis that assumed stressed values on
the remaining non-defeased loans. Based on this analysis, the
rating of class H is capped at 'CCCsf' due to the binary risk
regarding the upcoming loan maturities of the two non-defeased
loans in the pool. Losses are possible given the class' minimal
credit enhancement. The non-defeased loans are retail properties
located in Studio City, CA and Harrisburg, PA, both with upcoming
tenant rollover.
Litigation: Since Fitch's last rating action, the pool has
benefited from the resolution of litigation regarding the
foreclosure of Beaumont Business Center. The previous special
servicer approved a settlement between the trust and note buyer in
April 2017 that reimbursed the trust a portion of its legal fees
(for a total of $315,000). The $13.8 million loan was disposed in
June 2013 and incurred a $1.2 million loss.
Concentrated Pool: The pool is highly concentrated with only three
of the original 110 loans remaining. One loan (17.7% of the pool)
is defeased and has an August 2019 maturity. The other two loans
(82.3%) are secured by retail properties in secondary and tertiary
markets; both loans are amortizing with maturities in 2018 (30.4%
in October and 51.8% in December). All of the loans have remained
current since issuance with stable debt service coverage ratios and
current occupancies between 96% and 100%, per the most recent
servicer reporting.
As of the February 2018 remittance report, the pool has been
reduced by 99.1% to $13.5 million from $1.4 billion at issuance.
Cumulative interest shortfalls in the amount of $2.2 million are
currently affecting classes J and P.
RATING SENSITIVITIES
The Stable Outlook on class H reflects sufficient credit
enhancement to the classes relative to expected losses. Future
upgrades are likely should additional loans defease and if the
loans with upcoming maturities payoff. Downgrades are possible if
pool performance deteriorates or loans fail to pay off at
maturity.
Fitch has upgraded the following class:
-- $13.0 million class H to 'CCCsf' from 'CCsf'; RE 100%.
Fitch has affirmed the following classes:
-- $0.5 million class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1, A-2, A-3, A-4, A-5, A-6, A-1A, B, C, D, E, F, G,
DM-A, DM-B, DM-C, DM-D, DM-E, DM-F and DM-G certificates have paid
in full. Fitch does not rate the class P and BC certificates. Fitch
previously withdrew the ratings on the interest-only class X-C and
X-P certificates.
BARINGS CLO 2015-I: Moody's Assigns B3 Rating to Class F-R Notes
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
CLO refinancing notes (the "Refinancing Notes") issued by Barings
CLO Ltd. 2015-I:
Moody's rating action is as follows:
US$4,000,000 Class X-R Senior Secured Floating Rate Notes Due 2031
(the "Class X-R Notes"), Assigned Aaa (sf)
US$315,500,000 Class A-R Senior Secured Floating Rate Notes Due
2031 (the "Class A-R Notes"), Assigned Aaa (sf)
US$50,900,000 Class B-R Senior Secured Floating Rate Notes Due 2031
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$27,900,000 Class C-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class C-R Notes"), Assigned A2 (sf)
US$34,400,000 Class D-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$29,100,000 Class E-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class E-R Notes"), Assigned Ba3 (sf)
US$7,000,000 Class F-R Secured Deferrable Floating Rate Notes Due
2031 (the "Class F-R Notes"), Assigned B3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Barings LLC (the "Manager") manages the CLO. It directs the
selection, acquisition, and disposition of collateral on behalf of
the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes addresses the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on February 22, 2018
(the "Refinancing Date") in connection with the refinancing of all
classes of the secured notes (the "Refinanced Original Notes")
previously issued on April 29, 2015 (the "Original Closing Date").
On the Refinancing Date, the Issuer used proceeds from the issuance
of the Refinancing Notes, along with proceeds from the issuance of
additional subordinated notes, to redeem in full the Refinanced
Original Notes.
In addition to the issuance of the Refinancing Notes and additional
subordinated notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests and changes to the overcollateralization test
levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $496,500,000
Diversity Score: 68
Weighted Average Rating Factor (WARF): 3030
Weighted Average Spread (WAS): 3.40%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8.91 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (3030 to 3485)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R Notes: -1
Class B-R Notes: -2
Class C-R Notes: -2
Class D-R Notes: -1
Class E-R Notes: -1
Class F-R Notes: -1
Percentage Change in WARF -- increase of 30% (3030 to 3939)
Rating Impact in Rating Notches
Class X-R Notes: 0
Class A-R Notes: -1
Class B-R Notes: -4
Class C-R Notes: -4
Class D-R Notes: -2
Class E-R Notes: -1
Class F-R Notes: -4
BBCMS TRUST 2018-RRI: S&P Assigns B-(sf) Rating on Class F Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BBCMS Trust 2018-RRI's
$400.0 million commercial mortgage pass-through certificates.
The note issuance is a commercial mortgage-backed securities (CMBS)
transaction backed by one two-year, floating-rate, interest-only
commercial mortgage loan totaling $400.0 million with three,
one-year extension options, secured by cross-collateralized and
cross-defaulted mortgages, and deeds of trust to secure debt on the
borrowers' fee and leasehold interests in 86 limited-service
hotels.
The ratings reflect the collateral's historical and projected
performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
BBCMS Trust 2018-RRI
Class Rating Amount
A AAA (sf) 111,200,000
X-CP BBB- (sf) 110,600,000(i)
X-NCP BBB- (sf) 110,600,000(i)
B AA- (sf) 40,600,000
C A- (sf) 30,100,000
D BBB- (sf) 39,900,000
E BB- (sf) 62,600,000
F B- (sf) 55,500,000
G NR 39,900,000
HRR NR 20,200,000
(i)Notional balance. The notional amount of the class X-CP and
X-NCP certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the class
B, C, and D certificates.
NR--Not rated.
BCC FUNDING XIV: Moody's Assigns B2 Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by BCC Funding XIV LLC Series 2018-1 (BCC 2018-1).
This is Balboa Capital Corporation's (BCC) first transaction of the
year. The notes are backed by a pool of small and mid-ticket
equipment loans and leases primarily originated by BCC, who is also
the servicer and administrator for the transaction.
The complete rating actions are as follows:
Issuer: BCC Funding XIV LLC, Series 2018-1
$140,447,000, 2.96%, Equipment Contract Backed Notes, Series
2018-1, Class A-2, Definitive Rating Assigned Aa2 (sf)
$20,376,000, 3.39%, Equipment Contract Backed Notes, Series 2018-1,
Class B, Definitive Rating Assigned A1 (sf)
$11,745,000, 3.62%, Equipment Contract Backed Notes, Series 2018-1,
Class C, Definitive Rating Assigned Baa2 (sf)
$13,442,000, 4.61%, Equipment Contract Backed Notes, Series 2018-1,
Class D, Definitive Rating Assigned Ba2 (sf)
$6,934,000, 6.00%, Equipment Contract Backed Notes, Series 2018-1,
Class E, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying equipment
contract pool and its expected performance, the strength of the
capital structure, and the experience and expertise of BCC as the
servicer.
Moody's median cumulative net loss expectation for the BCC 2018-1
collateral pool is 3.75%, 25 basis points higher than the initial
net loss expectation for the 2016-1 pool. Moody's based its
cumulative net loss expectation for the BCC 2018-1 transaction on
its analysis of the credit quality of the underlying collateral;
the historical performance of similar collateral originated by BCC,
including securitization performance and managed portfolio
performance, which has exhibited higher net loss realization in
both the 2015 and 2016 vintages; the ability of BCC to perform the
servicing functions; and its current expectations for the
macroeconomic environment during the life of the transaction.
The Class A-2, Class B, Class C, Class D, and Class E notes benefit
from 25.90%, 18.70%, 14.55%, 9.80%, and 7.35% of hard credit
enhancement respectively. Hard credit enhancement available to
support the notes consists of overcollateralization of 5.85%, a
non-declining reserve account of 1.50%, and subordination. The
notes may also benefit from excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating ABS Backed by Equipment Leases and Loans"
published in December 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings on the notes if levels of credit
protection are greater than necessary to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the equipment that secure the obligor's promise of
payment. As the primary drivers of performance, positive changes in
the US macro economy and the performance of various sectors where
the lessees operate could also affect the ratings.
Down
Moody's could downgrade the ratings of the notes if levels of
credit protection are insufficient to protect investors against
current expectations of loss. Moody's updated expectations of loss
may be worse than its original expectations because of higher
frequency of default by the underlying obligors of the contracts or
a greater than expected deterioration in the value of the equipment
that secure the obligor's promise of payment. As the primary
drivers of performance, negative changes in the US macro economy
could also affect Moody's ratings. Other reasons for worse
performance than Moody's expectations could include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
BENCHMARK 2018-B2: Fitch Assigns 'Bsf' Rating to Cl. G-RR Certs
---------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Benchmark 2018-B2 Mortgage Trust commercial mortgage
pass-through certificates series 2018-B2.
-- $29,604,000 class A-1 'AAAsf'; Outlook Stable;
-- $341,798,000 class A-2 'AAAsf'; Outlook Stable;
-- $60,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $444,175,000 class A-5 'AAAsf'; Outlook Stable;
-- $54,333,000 class A-SB 'AAAsf'; Outlook Stable;
-- $1,220,681,000a class X-A 'AAAsf'; Outlook Stable;
-- $165,771,000 class A-S 'AAAsf'; Outlook Stable;
-- $60,281,000 class B 'AA-sf'; Outlook Stable;
-- $60,280,000 class C 'A-sf'; Outlook Stable;
-- $20,722,000a class X-D 'BBB+sf'; Outlook Stable;
-- $20,722,000b class D 'BBB+sf'; Outlook Stable;
-- $50,862,000bc class E-RR 'BBB-sf'; Outlook Stable;
-- $18,837,000bc class F-RR 'BBsf'; Outlook Stable;
-- $18,838,000bc class G-RR 'Bsf'; Outlook Stable.
The following classes are not rated:
-- $60,281,000a class X-B;
-- $56,512,898bc class NR-RR.
(a) Notional amount and interest-only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal credit risk retention interest.
Since Fitch published its expected ratings on Feb. 6, 2018, class
X-D increased in size to $20,722,000 from $18,838,000, class D
increased in size to $20,722,000 from $18,838,000, and class E-RR
decreased in size to $50,862,000 from $52,746,000. The class D
credit enhancement (CE) decreased to 9.625% from 9.750%. The
classes above reflect the final ratings and deal structure. The
expected 'AA-sf' rating on the interest-only X-B class had been
revised to 'NR' based on the final deal structure.
The final ratings are based on information provided by the issuer
as of Feb 26, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 57 loans secured by 67
commercial properties having an aggregate principal balance of
$1,507,013,899 as of the cut-off date. The loans were contributed
to the trust by German American Capital Corporation, JPMorgan Chase
Bank, National Association, and Citi Real Estate Funding Inc.
Fitch received a comprehensive sample of the transaction's
collateral, including site inspections on 79.5% of the properties
by balance, cash flow analysis of 86.7%, and asset summary reviews
of 86.7% of the pool.
KEY RATING DRIVERS
Lower Fitch Leverage than Recent Transactions: The pool has average
leverage relative to other recent Fitch-rated multiborrower
transactions. The pool's Fitch debt service coverage ratio (DSCR)
of 1.26x is in line with the YTD 2017 average of 1.26x and greater
than the 2016 average of 1.21x. The pool's Fitch loan to value
(LTV) of 99.2% is lower than the YTD 2017 average of 101.6% and is
in line with the 2016 average of 105.2%. Excluding the credit
opinion loans, the Fitch DSCR is 1.24x and the Fitch LTV is
106.6%.
Investment-Grade Credit Opinion Loans: There are 10 loans,
including the six-loan Beacon multifamily group with
investment-grade credit opinions totaling 18% of the pool. This is
above the 2017 average of 11.7% credit opinion loans in other
Fitch-rated multiborrower transactions. The credit opinion loans
include Apple Campus 3 (BBB-*sf; 4.5% of the pool), The Woods
(Asf*; 3.8%), Worldwide Plaza (BBB+*sf; 3.3%), Red Building
(BBB-*sf; 2.7%) and six Beacon multifamily loans with individual
credit opinions ranging from 'BBB-sf*' to 'AAAsf*'. Net of these
loans, the Fitch DSCR and LTV are 1.24x and 106.6%, respectively
for this transaction.
High-Quality Collateral: Fitch performed site inspections on 75.8%
of the pool. Of the inspected properties, 31.0% of them received a
property quality grade of 'A' or 'A-', and 37.4% of the sampled
properties received a property quality grade of 'B+'. Additionally,
no property in the pool received a property quality grade below
'B-'.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 12.9% below the most recent
year's NOI (for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period).
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
Benchmark 2018-B2 certificates and found that the transaction
displays average sensitivities to further declines in NCF. In a
scenario in which NCF declined a further 20% from Fitch's NCF, a
downgrade of the junior 'AAAsf' certificates to 'Asf' could result.
In a more severe scenario, in which NCF declined a further 30% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'BBB+sf' could result.
BENEFIT STREET XIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
----------------------------------------------------------------
Benefit Street Partners CLO XIV Ltd.'s issuance is a CLO
transaction backed by primarily broadly syndicated
speculative-grade senior secured term loans that are governed by
collateral quality tests.
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO XIV Ltd.'s $429.00 million floating rate
notes.
The note issuance is a collateralized loan obligation transaction
backed by primarily broadly syndicated speculative-grade senior
secured term loans that are governed by collateral quality tests.
The preliminary ratings are based on information as of Feb. 26,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Benefit Street Partners CLO XIV Ltd./Benefit Street Partners CLO
XIV LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 305.00
A-2 NR 30.00
B AA (sf) 38.75
C A (sf) 36.25
D BBB- (sf) 30.00
E BB- (sf) 19.00
Subordinated notes NR 50.50
NR--not rated.
BX COMMERCIAL 2018-BIOA: Fitch to Rate 2 Certificate Classes B-sf
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on BX Commercial Mortgage
Trust 2018-BIOA Commercial Mortgage Pass-Through Certificates,
Series 2018-BIOA. Fitch expects to rate the transaction and assign
Rating Outlooks as follows:
-- $676,000,000 class A 'AAAsf'; Outlook Stable;
-- $182,700,000a class X-CP 'A-sf'; Outlook Stable;
-- $203,000,000a class X-NCP 'A-sf'; Outlook Stable;
-- $122,000,000 class B 'AA-sf'; Outlook Stable;
-- $81,000,000 class C 'A-sf'; Outlook Stable;
-- $129,000,000 class D 'BBB-sf'; Outlook Stable;
-- $199,000,000 class E 'BB-sf'; Outlook Stable;
-- $123,000,000 class F 'B-sf'; Outlook Stable;
-- $70,000,000b class HRR 'B-sf'; Outlook Stable.
a) Notional amount and interest-only.
b) Horizontal credit risk retention interest.
The BX Commercial Mortgage Trust 2018-BIOA pass-through
certificates represent the beneficial interest in a trust that will
hold a two-year, floating-rate, interest-only $1.40 billion
mortgage loan secured by the fee and leasehold interests in 26 lab
office properties and one multifamily property with a total of
approximately 4.1 million sf. The floating-rate loan will have
five, one-year extension options and is anticipated to be funded by
the loan originators on, or prior to, the closing date of the
transaction, scheduled for March 9, 2018.
Proceeds from the loan, along with $510 million in subordinate
mezzanine debt, will be used to refinance approximately $1.54
billion in existing CMBS debt on the portfolio, pay for transaction
expenses and return approximately $301.4 million to the sponsor.
The existing debt was securitized in January 2016 as part of the
CGGS 2016-RND transaction (Pool A). This facilitated Blackstone
Real Estate Partners VIII's (the sponsor) acquisition of BioMed
Realty Trust Inc., a public REIT that owned, managed and developed
office and laboratory space. The certificates will follow a
sequential-pay structure, but as long as there is no event of
default, any voluntary prepayments (up to the first 25% of the
loan), including property releases, will be applied to the loan
components on a pro rata basis.
Key Rating Drivers
High-Quality Assets in Strong Locations: The portfolio is
collateralized by a pool of high-quality lab office properties in
highly desirable and in-fill life science submarkets. Of the
allocated loan amount (ALA), 95.5% is located in a top three life
science market, according to JLL's Life Sciences Outlook 2017
Report. The portfolio received a weighted average (WA) Fitch
property quality grade of 'A-'/'B+', and 78% (as a percentage of
ALA) of the properties were built or renovated since 2000.
Portfolio Diversity: The portfolio is collateralized by the fee
(24) and leasehold (three) interests in 27 (4.1 million sf)
properties located across three states and four distinct markets.
The largest five properties (by ALA) account for approximately
61.7% of the issuer's portfolio NOI and 57.3% of total NRA. The
portfolio also exhibits significant tenant diversity as it features
98 distinct tenants with no individual tenant representing more
than 11.4% of base rents (Ironwood Pharmaceuticals).
Institutional Sponsorship: The sponsor of the loan will be
Blackstone Real Estate Partners VIII, which is owned by affiliates
of the Blackstone Group, L.P., a global leader in real estate
investment with over $115.3 billion in assets under management as
of December 2017, including more than 12 million sf of life science
properties.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 6.1% below
the FY 2017 NCF. Included in Fitch's presale report are numerous
Rating Sensitivities that describe the potential impact given
further NCF declines below Fitch's NCF. Fitch evaluated the
sensitivity of the ratings for class A and found that a 30% decline
would result in a downgrade to 'BBB-sf'.
CALLIDUS ABL 2016-1: DBRS Confirms BB Rating on Class E Loans
-------------------------------------------------------------
DBRS, Inc. confirmed the ratings on the Series 2016-1 Loans issued
by Callidus ABL Corporation (the Borrower) as follows:
-- Series 2016-1 Class A Loans due November 2021 confirmed at
AAA (sf)
-- Series 2016-1 Class B Loans due November 2021 confirmed at
AA (sf)
-- Series 2016-1 Class C Loans due November 2021 confirmed at
A (sf)
-- Series 2016-1 Class D Loans due November 2021 confirmed at
BBB (sf)
-- Series 2016-1 Class E Loans due November 2021 confirmed at
BB (low) (sf)
The DBRS ratings on the Series 2016-1 Class A Loans and the Series
2016-1 Class B Loans address the Borrower's ability to make timely
payments of interest and ultimate payment of principal on or before
the Stated Maturity occurring in December 2021. The DBRS ratings on
the Series 2016-1 Class C Loans, the Series 2016-1 Class D Loans
and the Series 2016-1 Class E Loans address the Borrower's ability
to make ultimate payments of interest and principal on or before
the Stated Maturity.
The Series 2016-1 Loans were issued pursuant to the Loan Financing
and Servicing Agreement dated as at December 1, 2016, among
Callidus ABL Corporation, as Borrower; Callidus Capital
Corporation, as Equityholder and Collateral Manager; Deutsche Bank
Trust Company Americas, as Administrative Agent, Collateral
Custodian and Securities Intermediary; the Agents party thereto;
and the Lenders from time to time party thereto.
The confirmations reflect the current transaction performance and
amended structural enhancements.
Callidus ABL Corporation is a cash flow securitization
collateralized by a portfolio of middle market U.S. and Canadian
asset-backed corporate loans. The portfolio is managed by Callidus
Capital Corporation.
CBA COMMERCIAL 2006-1: Moody's Affirms C Rating on Class X-1 Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in CBA Commercial Assets, Small Balance Commercial Mortgage
Pass-Through Certificates Series 2006-1 as follows:
Cl. A, Affirmed Caa1 (sf); previously on Mar 16, 2017 Upgraded to
Caa1 (sf)
Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on the P&I class, Class A, was affirmed because the
ratings are consistent with Moody's expected loss plus realized
losses. Class A has already experienced a 1.7% realized loss as
result of previously liquidated loans.
The rating on the IO class, Class X-1, was affirmed based on the
credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 23.5% of the
current pooled balance, compared to 25.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 18.6% of the
original pooled balance, compared to 18.3% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Approach to
Rating US and Canadian Conduit/Fusion CMBS" published in July 2017.
The methodologies used in rating Cl. X-1 were "Moody's Approach to
Rating Structured Finance Interest-Only (IO) Securities" published
in June 2017 and "Approach to Rating US and Canadian Conduit/Fusion
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 16.6% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 20% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class and the recovery as a pay down of principal to
the most senior class.
DEAL PERFORMANCE
As of the January 25, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 91.9% to $13.4
million from $166.8 million at securitization. The certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 7.3% of the pool, with the top ten loans (excluding
defeasance) constituting 48.7% of the pool.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 29, compared to 35 at Moody's last review.
Seventy-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $27.8 million. Eight loans,
constituting 16.6% of the pool, are currently in special servicing.
The specially serviced loans are secured by a mix of property
types. Moody's estimates an aggregate $1.8 million loss for the
specially serviced loans (80% expected loss on average).
Moody's has also assumed a high default probability for 11 poorly
performing loans, constituting 20% of the pool, and has estimated
an aggregate loss of $1.07 million (a 40% expected loss based on a
50% probability default) from these troubled loans.
Moody's weighted average conduit LTV is 91.2%, compared to 91.9% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 19.3% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.08%.
Moody's actual and stressed conduit DSCRs are 1.17X and 1.36X,
respectively, compared to 1.20X and 1.32X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
CD 2006-CD2: Moody's Affirms C(sf) Rating on Class X Notes
----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on two classes
in CD 2006-CD2 Commercial Mortgage Trust:
Cl. A-J, Affirmed Ca (sf); previously on Mar 2, 2017 Downgraded to
Ca (sf)
Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C
(sf)
RATINGS RATIONALE
The rating on Class A-J was affirmed because the ratings are
consistent with Moody's expected loss plus realized losses. Class
A-J has already experienced a 31% realized loss as result of
previously liquidated loans.
The rating on the IO class was affirmed based on the credit quality
of its referenced classes.
Moody's rating action reflects a base expected loss of 33.9% of the
current pooled balance, compared to 15.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.9% of the
original pooled balance, compared to 15.6% at the last review.
Moody's provides a current list of base expected losses for conduit
and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X were "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017 and "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 75% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then applies the aggregate loss from specially
serviced to the most junior class(es) and the recovery as a pay
down of principal to the most senior class(es).
DEAL PERFORMANCE
As of the February 16, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 97.7% to $70.4
million from $3.06 billion at securitization. The certificates are
collateralized by eight mortgage loans ranging in size from less
than 5% to 30% of the pool. One loan, constituting 5.0% of the
pool, has defeased and is secured by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of five, compared to six at Moody's last review.
Thirty-four loans have been liquidated from the pool, contributing
to an aggregate realized loss of $461.6 million (for an average
loss severity of 60%). Five loans, constituting 75% of the pool,
are currently in special servicing. The largest specially serviced
loan is the Alpine Commons Shopping Center Loan ($21.4 million --
30.4% of the pool), which is secured by a 209,000 square foot (SF)
anchored retail property in Wappingers Falls, New York. The loan
initially transferred to special servicing in 2016 after the
borrower was unable to repay the loan at maturity. The loan was
subsequently extended by 24 months, with a new maturity date in
January 2018. The loan transferred back to the special servicer in
January 2018 for maturity default.
The second largest specially serviced loan is the Galleria Pavilion
($14.1 million -- 20.0% of the pool), which is secured by a 64,000
SF retail property located in Henderson, Nevada. The property was
anchored by Walgreens until the tenant vacated in 2016. As of the
December 2017 rent roll, the property was only 51% leased with 30%
of the leases scheduled to roll within the next two years.
The remaining three specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $23.9 million
loss for the specially serviced loans (45% expected loss on
average).
The two non-defeased, non-specially serviced conduit loans
represent 19.7% of the pool balance. The largest loan is the
Shelton Pointe Loan ($11.8 million -- 16.8% of the pool), which is
secured by a 158,000 SF suburban office property located in
Shelton, Connecticut. As of September 2017, the property was 97%
leased, with 48% of the leases scheduled to roll within the next
two years. The loan has amortized approximately 25% and is
scheduled to mature in September 2020. Moody's LTV and stressed
DSCR are 74% and 1.54X, respectively, compared to 69% and 1.49X at
the last review.
The other conduit loan is the Francis Murphy Senior Apartments Loan
($2.1 million -- 2.9% of the pool), which is secured by a 120-unit
senior living complex in Hagerstown, Maryland. The property
features one and two-bedroom units and is located across from a
medical center. As of September 2017, the property was 100% leased,
up from 95% at year-end 2015. Moody's LTV and stressed DSCR are 75%
and 1.38X, respectively, compared to 52% and 1.73X at the last
review.
CITIGROUP COMMERCIAL 2018-B2: Fitch to Rate Class F Certs 'B-sf'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Citigroup Commercial
Mortgage Trust 2018-B2 commercial mortgage pass-through
certificates, Series 2018-B2.
Fitch expects to rate the transaction and assign Rating Outlooks as
follows:
-- $28,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $69,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $120,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $440,485,000a class A-4 'AAAsf'; Outlook Stable;
-- $49,000,000 class A-AB 'AAAsf'; Outlook Stable;
-- $783,442,000b class X-A 'AAAsf'; Outlook Stable;
-- $97,142,000b class X-B 'A-sf'; Outlook Stable;
-- $76,957,000 class A-S 'AAAsf'; Outlook Stable;
-- $49,202,000 class B 'AA-sf'; Outlook Stable;
-- $47,940,000 class C 'A-sf'; Outlook Stable;
-- $52,986,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $25,232,000bc class X-E 'BB-sf'; Outlook Stable;
-- $10,092,000bc class X-F 'B-sf'; Outlook Stable;
-- $52,986,000c class D 'BBB-sf'; Outlook Stable;
-- $25,232,000c class E 'BB-sf'; Outlook Stable;
-- $10,092,000c class F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
-- $40,371,466c class G;
-- $40,371,466bc class X-G;
-- $53,119,236cd VRR Interest.
(a) The initial certificate balances of class A-3 and class A-4 are
unknown and expected to be $560,485,000 in aggregate. The
certificate balances will be determined based on the final pricing
of those classes of certificates. The expected class A-3 balance
range is $70,000,000 to $170,000,000 and the expected class A-4
balance range is $390,485,000 to $490,485,000.
(b) Notional amount and interest-only.
(c) Privately placed and pursuant to Rule 144A.
(d) Vertical credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
The expected ratings are based on information provided by the
issuer as of Feb. 28, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 52 loans secured by 142
commercial properties having an aggregate principal balance of
$1,062,384,703 as of the cut-off date. The loans were contributed
to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Citi
Real Estate Funding Inc., Starwood Mortgage Funding V LLC and Bank
of America, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 67.7% of the properties
by balance, cash flow analysis of 77.4%, and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is greater than that of recent comparable Fitch-rated multiborrower
transactions. The pool has a weighted average Fitch DSCR of 1.15x,
which is below the 2017 average of 1.26x for other recent
Fitch-rated U.S. multiborrower deals. The pool's weighted average
Fitch LTV of 110.0% is higher than the 2017 average of 101.6%.
Diversified Pool: The largest 10 loans account for 45.4% of the
pool, which is below the 2017 average of 53.1% for fixed-rate
transactions. The pool exhibits lower pool concentration, with a
loan concentration index (LCI) of 339, which is below the 2017
average of 398.
Property Type Concentration: The pool has a higher than average
concentration of self-storage properties and lower than average
concentration of multifamily properties. Self-storage properties
represent 18.8% of the pool, which is above the 2017 average of
3.9% for fixed-rate transactions. Multifamily properties represent
2.4% of the pool, which is below the 2017 average of 8.1% for
fixed-rate transactions. Loans secured by self-storage and
multifamily properties have a lower than average probability of
default in Fitch's multiborrower model, all else equal.
Additionally, two properties representing 4.3% of the pool are
secured primarily by parking facilities, a non-traditional property
type.
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 12.8% below
the most recent year's net operating income (NOI) for properties
for which a full year NOI was provided, excluding properties that
were stabilizing during this period. Unanticipated further declines
in property-level NCF could result in higher defaults and loss
severities on defaulted loans and in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the
CGCMT 2018-B2 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
COLONY MORTGAGE 2014-FL1: S&P Affirms B(sf) Rating on Cl. F Notes
-----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on four classes of
floating-rate notes from Colony Mortgage Capital Series 2014-FL1
Ltd., a U.S. commercial mortgage-backed securities (CMBS)
transaction.
S&P said, "For these classes, our expectation of credit enhancement
was in line with the affirmed rating levels. While available credit
enhancement levels suggest positive rating movements on classes C,
D, E, and F, our analysis also considered the tenancy rollover and
refinancing risks of the two performing loans, as well as reduced
liquidity support and the potential prolonged liquidation timing of
the two specially serviced assets.
"In addition, we reviewed the transaction's insurance provision and
providers and determined that they are, for the most part,
consistent with our property insurance criteria and normal market
standards. However, upon review of the recent insurance
certificates for the Almeda Mall loan that the master servicer
provided, we noted that two of the insurers are not rated by S&P
Global Ratings. We generally expect insurance providers to be rated
by S&P Global Ratings no lower than two rating categories below the
highest-rated securities backed by the loan, with a floor of the
'BBB' rating category. As such, we increased our minimum credit
enhancement levels at each rating category for the loan."
This is a large loan transaction backed by three floating-rate
interest-only (IO) mortgage loans and a real estate owned (REO)
asset. S&P said, "Our property-level analysis included a
re-evaluation of the two performing loans in the pool, which are
both secured by retail properties that were transitional at
issuance. We considered their stable reported historical
performance (2012 through year-to-date Sept. 30, 2017) over the
past few years in our analysis of the properties securing the
loans."
As of the Feb. 1, 2018, trustee remittance report, with a payment
date of Feb. 8, 2018, the trust consisted of three floating-rate
loans indexed to one-month LIBOR (1.56%) and one REO asset with an
aggregate asset balance of $89.4 million and $500,601 in a
principal payment account, down from 11 loans totaling $190.6
million at issuance. The aggregate liability balance totaled $96.3
million due mainly to the capitalization of deferred interest on
the aggregate outstanding balance of the deferrable income notes
(not rated by S&P Global Ratings). In addition, as long as the
class C notes are outstanding, the interest due on the class D, E,
and F notes can be deferred if interest proceeds from the
collateral are insufficient to pay interest due to these classes.
Since class C is the most senior class outstanding, its interest
payment is not deferrable. The transaction has not reported any
principal losses to date.
Details on the four remaining assets are as follows:
The Mall at Whitney Field loan ($29.9 million, 33.4% of the asset
balance), the largest loan remaining in the trust, is secured by a
691,877-sq.-ft. regional mall in Leominster, Mass. The borrower's
equity interest in the whole loan secures $7.0 million in mezzanine
debt. The loan pays floating-rate interest equal to one-month LIBOR
plus a 6.00% gross margin. The loan initially matured on June 1,
2016, and has a June 1, 2018, fully extended maturity date.
According to the Sept. 30, 2017, rent roll, the property was 97.9%
occupied and 6.7%, 18.1%, and 1.8% of the net rentable area (NRA)
has leases that expire in 2018, 2019, and 2020, respectively. The
master servicer, KeyBank Real Estate Capital (KeyBank), reported a
0.99x and 1.78x debt service coverage (DSC) for the nine months
ended Sept. 30, 2017, and the year ended Dec. 31, 2016,
respectively. S&P's expected-case valuation, using a 9.00% S&P
Global Ratings capitalization rate, yielded a 93.4% S&P Global
Ratings loan-to-value (LTV) ratio and a 1.06x S&P Global Ratings
DSC based on the loan's LIBOR cap and gross margin.
The Clearview Mall loan ($26.5 million, 29.7%), the second-largest
asset remaining in the trust, has a reported $26.5 million total
exposure. The loan is secured by a 762,503-sq.-ft. regional mall in
Butler, Pa. and pays floating-rate interest equal to one-month
LIBOR plus a 6.50% gross margin.
The loan, which has a reported current payment status, was
transferred to special servicing on April 6, 2017, due to imminent
maturity default. The loan matured on May 1, 2017. According to the
servicer's comments, the special servicer, Colony NorthStar AMC
OPCO LLC (Colony), is pursuing foreclosure as well as loan
modification. Colony did not provide updates on valuation,
operating performance, and/or resolution timing. An appraisal
reduction amount of $6.6 million has been reported for the loan.
S&P expects a moderate loss (26%-59%) upon its eventual
resolution.
The Almeda Mall loan, the second-smallest asset remaining in the
trust, consisted of a $21.0 million pari passu component that makes
up 23.5% of the asset trust balance. The other pari passu piece
totaling $3.0 million is held outside the trust. The loan is
secured by 423,420 sq. ft. of a 571,158-sq.-ft. regional mall in
Houston. The loan is on the master servicer's watchlist due to its
impending maturity. The loan, which pays floating-rate interest
equal to one-month LIBOR plus a 5.75% gross margin, matures on
April 1, 2018, and has one one-year extension option remaining.
KeyBank indicated that the borrower is likely to exercise its
remaining extension option. According to the Sept. 30, 2017, rent
roll, the collateral property was 82.0% occupied and 0.3%, 23.0%,
and 14.8% of the NRA has leases that expire in 2017, 2018, and
2019, respectively. KeyBank reported a 2.06x DSC for the nine
months ended Sept. 30, 2017. S&P's expected-case valuation, using
an 8.25% S&P Global Ratings capitalization rate, yielded a 82.6%
S&P Global Ratings LTV ratio and a 1.01x S&P Global Ratings DSC
based on the loan's LIBOR cap and gross margin.
The Hyatt House REO asset ($12.0 million, 13.4%), the smallest
asset remaining in the trust, has a reported $14.1 million total
exposure. The asset is a 130-room extended stay hotel in Minot,
N.D. The loan was transferred to the special servicer on Jan. 25,
2016, due to imminent default because the cash management account
had insufficient funds to satisfy the Jan. 1, 2016, waterfall. The
property became REO on Jan. 1, 2017. Colony did not provide updates
on valuation, operating performance, and/or resolution timing, and
the master servicer deemed the asset nonrecoverable in February
2018. S&P expects a significant loss (over 60%) upon its eventual
resolution.
RATINGS LIST
Colony Mortgage Capital Series 2014-FL1 Ltd
Floating-rate notes series 2014-FL1
Rating
Class Identifier To From
C 19624GAE0 A+ (sf) A+ (sf)
D 19624GAG5 BBB+ (sf) BBB+ (sf)
E 19624JAA2 BB+ (sf) BB+ (sf)
F 19624JAC8 B (sf) B (sf)
COMM 2014-UBS2: DBRS Confirms B(low) Rating on Class F Certs
------------------------------------------------------------
DBRS Limited confirmed all classes of Commercial Mortgage
Pass-Through Certificates, Series 2014-UBS2 issued by COMM
2014-UBS2 Mortgage Trust as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The rating confirmations reflect the overall stable performance of
the transaction. At issuance, the pool consisted of 59 loans
secured by 95 commercial and multifamily properties. The pool has
since experienced a collateral reduction of 3.8% as a result of
scheduled amortization, with all of the original loans remaining in
the pool. Two loans have been defeased, representing 1.3% of the
current pool balance. Based on YE2016 financials, the pool reported
a weighted-average (WA) debt service coverage ratio (DSCR) of 1.60
times (x) and a WA debt yield of 10.6%. Comparatively, the YE2015
WA DSCR and WA debt yield were 1.60x and 9.3%, respectively, and
the WA DBRS Term DSCR and WA DBRS Debt Yield at issuance were 1.37x
and 8.7%, respectively.
As of the November 2017 remittance, there is one loan in special
servicing, representing 2.0% of the current pool balance. In
addition, there are nine loans on the servicer's watchlist,
representing 27.8% of the current pool balance. The specially
serviced loan is Prospectus ID #15, Creekside Mixed Use
Development. That loan transferred to the special servicer in
November 2014 for imminent default and the property is now REO. For
additional information on the current status of the workout and the
DBRS analysis approach, please see the Loan Commentary on the DBRS
Viewpoint platform.
Classes X-A and X-B are interest-only (IO) certificates that
reference a single rated tranche or multiple rated tranches. The IO
rating mirrors the lowest-rated reference tranche and may be
adjusted upward by one notch if senior in the waterfall.
COOK PARK: S&P Assigns Prelim BB-(sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Cook Park
CLO Ltd.'s $858.00 million floating-rate notes.
The note issuance is a collateralized loan obligation backed by
primarily U.S. dollar-denominated senior secured loans to broadly
syndicated corporate borrowers.
The preliminary ratings are based on information as of Feb. 27,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
Cook Park CLO Ltd./Cook Park CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 595.00
A-2 NR 60.00
B AA (sf) 90.00
C (deferrable) A (sf) 74.00
D (deferrable) BBB- (sf) 61.00
E (deferrable) BB- (sf) 38.00
Subordinate notes NR 107.00
NR--Not rated.
CREDIT SUISSE 2003-6: Moody's Hikes Cl. M-1 Debt Rating From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class M-1
issued by Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-6, a transaction backed by subprime mortgage loans.
Complete rating actions are:
Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series
2003-6
Cl. M-1, Upgraded to Baa1 (sf); previously on Mar 9, 2017 Upgraded
to Ba1 (sf)
RATINGS RATIONALE
The action reflects the recent performance of the underlying pool
and reflects Moody's updated loss expectations on the pool. The
rating upgraded is the result of an increase in credit enhancement
available to the bond, coupled with lowered loss expectations on
the pool.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in January 2018 from 4.8% in
January 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
DCAL AVIATION 2015: S&P Affirms BB(sf) Rating on Class C-1 Notes
----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on DCAL Aviation Finance
Ltd.'s (formerly AIM Aviation Finance Ltd.) series 2015 A-1, B-1,
and C-1 notes.
DCAL Aviation Finance Ltd.'s series 2015 issuance is an
asset-backed securities transaction backed by shares in entities
that directly and indirectly receive aircraft portfolio leases and
residual cash flows.
The affirmations reflect the portfolio's stable performance and
sufficient credit support at the current rating levels.
Since the deal's closing in February 2015, the notes have received
a combined principal paydown of $183.8 million. According to the
Jan. 16, 2018, payment report, which we used for our analysis, the
class A-1 and B-1 notes and class C-1 notes had outstanding
balances of 73.54% and 54.19% of their respective original
balances.
As of December 2017, the portfolio was backed by 18 aircraft, down
from 20 at closing. The depreciated lower of the mean and median of
the half-life appraisals of the aircraft as of January 2018 was
$543.30 million. Thus, the loan-to-value ratios for the class A-1,
B-1, and C-1 notes were 73.77%, 85.15%, and 88.94%, respectively,
which are slightly higher than the 71.37%, 82.37%, and 87.35% at
closing.
Alitalia is the top lessee in the portfolio, with an exposure of
21.94% (based on the half-life appraisals). The servicer indicated
that they expect two more aircraft to be sold by June 2019, which
will further increase the portfolio's exposure to Alitalia.
Although, there haven't been any missed payments on Alitalia's
leases, S&P did consider the risk of this exposure, and the sale of
the two aircraft, in its analysis. S&P will monitor the portfolio's
composition once the sale contract has been executed.
S&P said, "We will continue to review whether, in our view, the
ratings assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take further
rating actions as we deem necessary."
RATINGS AFFIRMED
DCAL Aviation Finance Ltd. Series 2015
Class Rating
A-1 A (sf)
B-1 BBB (sf)
C-1 BB (sf)
EQUIFIRST LOAN 2007-1: Moody's Hikes Class A-1 Debt Rating to B2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 3 tranches
from EquiFirst Loan Securitization Trust 2007-1.
Complete rating actions are as follows:
Issuer: EquiFirst Loan Securitization Trust 2007-1
Cl. A-1, Upgraded to B2 (sf); previously on Oct 16, 2015 Upgraded
to B3 (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jul 14, 2010
Downgraded to Caa3 (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 14, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
The ratings upgrade are primarily due to the increase in the credit
enhancement available to the bonds. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in January 2018 from 4.8% in January
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
EVERBANK MORTGAGE 2018-1: Moody's Assigns Ba2 Rating to B-4 Debt
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to 28 classes of
residential mortgage-backed securities (RMBS) issued by EverBank
Mortgage Loan Trust 2018-1 (EBMLT 2018-1). The ratings range from
Aaa (sf) to Ba2 (sf).
EBMLT 2018-1 is the first transaction entirely backed by loans
originated by EverBank since 2013. In June 2017, EverBank was
acquired by Teachers Insurance and Annuity Association of America
(Aa1). TIAA, FSB is the successor to EverBank. EBMLT 2018-1
consists of prime jumbo pools underwritten to TIAA, FSB 's
underwriting standards. All of the mortgage loans in EBMLT 2018-1
are designated as qualified mortgage (QM) safe harbor loans. TIAA,
FSB will service the loans and Wells Fargo Bank, N.A. (Aa2) will be
the master servicer.
The complete rating actions are as follows:
Issuer: EverBank Mortgage Loan Trust 2018-1
Cl. A-1, Assigned Aaa (sf)
Cl. A-2, Assigned Aaa (sf)
Cl. A-3, Assigned Aaa (sf)
Cl. A-4, Assigned Aaa (sf)
Cl. A-5, Assigned Aaa (sf)
Cl. A-6, Assigned Aaa (sf)
Cl. A-7, Assigned Aaa (sf)
Cl. A-8, Assigned Aaa (sf)
Cl. A-9, Assigned Aaa (sf)
Cl. A-10, Assigned Aaa (sf)
Cl. A-11, Assigned Aaa (sf)
Cl. A-12, Assigned Aaa (sf)
Cl. A-13, Assigned Aaa (sf)
Cl. A-14, Assigned Aaa (sf)
Cl. A-15, Assigned Aaa (sf)
Cl. A-16, Assigned Aaa (sf)
Cl. A-17, Assigned Aaa (sf)
Cl. A-18, Assigned Aaa (sf)
Cl. A-19, Assigned Aa1 (sf)
Cl. A-20, Assigned Aa1 (sf)
Cl. A-21, Assigned Aa1 (sf)
Cl. A-22, Assigned Aaa (sf)
Cl. A-23, Assigned Aaa (sf)
Cl. A-24, Assigned Aaa (sf)
Cl. B-1, Assigned Aa3 (sf)
Cl. B-2, Assigned A2 (sf)
Cl. B-3, Assigned Baa2 (sf)
Cl. B-4, Assigned Ba2 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected cumulative net loss on the aggregate pool is 0.35%
in a base scenario and reaches 3.80% at a stress level consistent
with the Aaa ratings. Moody's loss estimates are based on a
loan-by-loan assessment of the securitized collateral pool using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included: adjustments to borrower
probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to Moody's Aaa stress loss above the model output also includes
adjustments related to aggregator and originators assessments. The
model combines loan-level characteristics with economic drivers to
determine the probability of default for each loan, and hence for
the portfolio as a whole. Severity is also calculated on a
loan-level basis. The pool loss level is then adjusted for
borrower, zip code, and MSA level concentrations.
Collateral Description
EBMLT 2018-1 is a securitization of 551 primarily 30-year
fixed-rate prime residential mortgages (three loans are 25-year
fixed). Borrowers of the mortgage loans backing this transaction
have strong credit profile demonstrated by strong credit scores,
high percentage of equity and significant liquid reserves. The
credit quality of the transaction is in line with recent prime
jumbo transactions that Moody's have rated.
Moody's decreased Moody's loss levels due to TIAA, FSB 's strength
as an originator of prime jumbo loans. Moody's believe that TIAA,
FSB is stronger than its peers due to its conservative underwriting
standards, solid performance history and strong quality control
policies and procedures.
Borrowers of the mortgage loans backing this transaction have a
demonstrated ability to save and to manage credit. On average,
borrowers have 25.9% equity in the properties backing the mortgage
loans. In addition, approximately 67.0% of borrowers have more than
24 months of liquid cash reserves or enough money to pay the
mortgage for two years should there be an interruption to the
borrower's cash flow. Consistent with prudent credit management,
the borrowers have high FICO scores, with a weighted average score
of 776. In general, the borrowers have high income, significant
liquid assets and a stable employment history, all of which have
been verified as part of the underwriting process and reviewed by
the TPR firm.
The transaction includes mortgage loans backed by properties
located in areas designated by the Federal Emergency Management
Authority (FEMA) for federal assistance in the last 12 months. The
sponsor ordered inspections of mortgaged properties located in
counties where borrowers were eligible for individual assistance
from FEMA. No material damage was discovered. However, the sponsor
did not order inspections on properties located in areas designated
by FEMA as public assistance areas. Moody's note that mortgage
loans backed by properties located in areas affected by Hurricane
Harvey, Hurricane Irma and wildfires show zero delinquencies.
Moreover, the transaction includes an unqualified representation
that the pool does not include properties with material damage that
would adversely affect the value of the mortgaged property.
Third Party Review and Reps & Warranties (R&W)
One third-party due diligence firm verified the accuracy of the
loan level information that the sponsor gave us. This TPR firm
conducted detailed credit, property valuation, data accuracy and
compliance reviews on 100% of the mortgage loans in the collateral
pool. The TPR results indicate that the majority of reviewed loans
were in compliance with originators' underwriting guidelines, no
material compliance or data issues, and no material appraisal
defects.
Moody's consider the strength of the R&W framework in EBMLT 2018-1
to be adequate. Moody's analysis of the R&W framework considers the
R&Ws, enforcement mechanisms and creditworthiness of the R&W
provider. The sponsor is TIAA, FSB whose parent, Teachers Insurance
and Annuity Association of America, has an insurance financial
strength rating at Aa1 and a long-term issuer rating at Aa2. The
sponsor has provided unambiguous representations and warranties
(R&Ws) with no material knowledge qualifiers and not subject to a
sunset. There is a provision for binding arbitration in the event
of a dispute between investors and the R&W provider concerning R&W
breaches.
However, the R&W framework in EBMLT 2018-1 differs from other prime
jumbo transactions because breach review is not automatic. Once a
review trigger has been hit (e.g. 120-day delinquency), it is the
responsibility of the controlling holder, and subsequently the
senior holder group, to engage an independent reviewer and to bear
the costs of the review, even if a breach is discovered (unless the
R&W is an "intrinsic representation," then the sponsor will bear
the cost of review). If the controlling holder and the senior
holder group elect not to engage an independent reviewer to conduct
a breach review, the loan will not be reviewed, which may result in
systemic defects to go undetected. In Moody's analysis, Moody's
considered the incentives of the controlling holder and the senior
holder group, that a third-party due diligence firm has performed a
100% review of the mortgage loans as well as the early payment
default protection in this transaction.
Trustee/Custodian and Master Servicer/Securities Administrator
U.S. Bank National Association (U.S. Bank) (A1) will act as the
trustee for this transaction. In its capacity as custodian, U.S.
Bank will hold the collateral documents, which include, the
original note and mortgage and any intervening assignments of
mortgage.
Wells Fargo Bank, N.A. (Wells Fargo) (Aa2) provides oversight of
the servicer. Moody's consider Wells Fargo as a strong master
servicer of residential loans. Wells Fargo's oversight encompasses
loan administration, default administration, compliance and cash
management. Wells Fargo will also act as securities administrator,
whose role includes paying the issued securities.
Other Considerations
Servicer optional purchase of delinquent loans: The servicer has
the option to purchase any mortgage loan which is 90 days or more
delinquent, which may result in the step-down test used in the
calculation of the senior prepayment percentage to be satisfied
when otherwise it would not have been. Moreover, because the
purchase may occur prior to the breach review trigger of 120 days
delinquency, the loan may not be reviewed for breaches of
representations and warranties and thus, systemic defects may go
undetected. In Moody's analysis, Moody's considered that the loans
will be purchased by the servicer at par, the servicer is limited
to purchasing loans up to 10% of the aggregate cut-off date balance
and that a third-party due diligence firm has performed a 100%
review of the mortgage loans. Moreover, the reporting for this
transaction will list the mortgage loans purchased by the
servicer.
Extraordinary expenses and risk of trustee holdback: Extraordinary
trust expenses in the EBMLT 2018-1 transaction are deducted from
Net WAC as opposed to available distribution amount. Moody's
believe there is a very low likelihood that the rated certificates
in EBMLT 2018-1 will incur any losses from extraordinary expenses
or indemnification payments from potential future lawsuits against
key deal parties. First, the loans are prime quality, 100%
qualified mortgages and were originated under a regulatory
environment that requires tighter controls for originations than
pre-crisis, which reduces the likelihood that the loans have
defects that could form the basis of a lawsuit. Second, the
transaction has reasonably well defined processes in place to
identify loans with defects on an ongoing basis. In this
transaction, an independent breach reviewer, at the direction of
the controlling holder or senior holder group, must review loans
for breaches of representations and warranties when certain clearly
defined triggers have been breached which reduces the likelihood
that parties will be sued for inaction. Third, the issuer has
disclosed the results of a credit, compliance and valuation review
of all of the mortgage loans by an independent third party. 100% of
the loans were included in the due diligence review. Finally, the
performance of past EBMLT transactions have been well within
expectation.
Tail Risk & Subordination Floor
The transaction has a shifting interest structure that allows
subordinated bonds to receive principal payments under certain
defined scenarios. Because a shifting interest structure allows
subordinated bonds to pay down over time as the loan pool shrinks,
senior bonds are exposed to increased performance volatility, known
as tail risk. The transaction provides for a senior subordination
floor of 1.40% of the closing pool balance, which mitigates tail
risk by protecting the senior bonds from eroding credit enhancement
over time. Additionally there is a subordination lock-out amount
which is 1.10% of the closing pool balance.
Transaction Structure
The transaction is structured as a one pool shifting interest
structure in which the senior bonds benefit from a senior floor and
a subordination floor. Funds collected, including principal, are
first used to make interest payments to the senior bonds. Next
principal payments are made to the senior bonds and then interest
and principal payments are paid to the subordinate bonds in
sequential order, subject to the subordinate class percentage of
the subordinate principal distribution amounts.
Realized losses are allocated in a reverse sequential order, first
to the lowest subordinate bond. After the balances of the
subordinate bonds are written off, losses from the pool begin to
write off the principal balances of the senior support bonds until
their principal balances are reduced to zero. Next realized losses
are allocated to the super senior bonds until their principal
balances are written off.
As in all transactions with shifting-interest structures, the
senior bonds benefit from a cash flow waterfall that allocates all
prepayments to the senior bonds for a specified period of time, and
allocates increasing amounts of prepayments to the subordinate
bonds thereafter only if loan performance satisfies both
delinquency and loss tests.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
FLAGSTAR MORTGAGE 2018-1: Moody's Assigns B2 Rating on B-5 Debt
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 19
classes of residential mortgage-backed securities (RMBS) issued by
Flagstar Mortgage Trust 2018-1 (FSMT 2018-1). The ratings range
from Aaa (sf) to B2 (sf).
The certificates are backed by a single pool of fixed rate
non-agency jumbo mortgages (63.5% of the aggregate pool) and agency
eligible high balance conforming residential fixed rate mortgages
(36.5% of the aggregate pool), originated by Flagstar Bank, FSB,
with an aggregate stated principal balance of $487,656,132.
Flagstar Bank, FSB is the servicer of the pool, Wells Fargo Bank,
N.A. is the master servicer and Wilmington Trust N.A. will serve as
the trustee.
Servicing compensation in this transaction is based on a
fee-for-service incentive structure similar to the Flagstar
Mortgage Trust 2017-2 transaction. The fee-for-service incentive
structure includes an initial monthly base servicing fee of $20.5
for all performing loans and increases according to certain
delinquent and incentive fee schedules. The Class B-6-C (NR) is
first in line to absorb any increase in servicing costs above the
base servicing costs. Moreover, the transaction does not have a
servicing fee cap.
The complete rating actions are:
Issuer: FLAGSTAR MORTGAGE TRUST 2018-1
Class A-1, Definitive Rating Assigned Aaa (sf)
Class A-2, Definitive Rating Assigned Aaa (sf)
Class A-3, Definitive Rating Assigned Aaa (sf)
Class A-4, Definitive Rating Assigned Aaa (sf)
Class A-5, Definitive Rating Assigned Aaa (sf)
Class A-6, Definitive Rating Assigned Aaa (sf)
Class A-7, Definitive Rating Assigned Aaa (sf)
Class A-8, Definitive Rating Assigned Aaa (sf)
Class A-9, Definitive Rating Assigned Aaa (sf)
Class A-10, Definitive Rating Assigned Aaa (sf)
Class A-11, Definitive Rating Assigned Aaa (sf)
Class A-12, Definitive Rating Assigned Aaa (sf)
Class A-13, Definitive Rating Assigned Aa1 (sf)
Class A-14, Definitive Rating Assigned Aa1 (sf)
Class B-1, Definitive Rating Assigned A1 (sf)
Class B-2, Definitive Rating Assigned A3 (sf)
Class B-3, Definitive Rating Assigned Baa3 (sf)
Class B-4, Definitive Rating Assigned Ba2 (sf)
Class B-5, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
Summary credit analysis
Moody's calculated losses on the pool using Moody's US Moody's
Individual Loan Analysis (MILAN) model based on the loan-level
collateral information as of the cut-off date. Loan-level
adjustments to the model results included adjustments to
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for the default risk of Homeownership
association (HOA) properties in super lien states. Moody's final
loss estimates also incorporate adjustments for originator
assessments, third-party review (TPR) scope and results, and the
financial strength of representation & warranty (R&W) provider.
Moody's expected loss for this pool in a base case scenario is
0.40% and reaches 5.90% at a stress level consistent with Moody's
Aaa (sf) scenario.
Collateral description
The FSMT 2018-1 transaction is a securitization of 754 first lien
residential mortgage loans with an unpaid principal balance of
$487,656,132. This transaction has approximately five months
seasoned loans and strong borrower characteristics. The non-zero
weighted-average primary-borrower original FICO score is 766 and
the weighted-average original combined loan-to-value ratio (CLTV)
is 67.4%. More than half of the borrowers have more than 24 months'
liquid reserves. There are however a relatively high percentage of
self-employed borrowers (31.5% by loan balance) in the aggregate
pool.
Flagstar Bank, FSB originated and will service the loans in the
transaction. Moody's consider Flagstar an adequate originator and
servicer of prime jumbo and conforming mortgages and Moody's loss
estimates did not include an adjustment for origination or
servicing arrangement quality.
Third-party review and representation & warranties
An independent TPR firm was engaged to conduct due diligence for
the credit, regulatory compliance, property valuation, and data
accuracy for a sample of 332 loans in this transaction. For the
remaining 427 loans, the TPR firm was only engaged to conduct a
regulatory compliance due diligence review (which did not include
compliance with ATR/QM rules). In addition, a collateral desktop
analysis (CDA) was performed by Clear Capital as a valuation check
for all of the loans in the final pool.
The TPR results indicated adherence to the originators'
underwriting guidelines for the vast majority of loans. Two loans
were dropped from the securitization due to grade C/D findings
related to failed ATR/QM testing. The TPR firm did not identify any
loans with grade C or grade D compliance issues. One loan received
a grade C property valuation due to a failure to adequately inspect
the property following the recent wildfires. In addition, three of
the loans that were not reviewed by the TPR firm had CDAs that were
10% less than their appraisal values. Moody's viewed the 332 loan
sample size for the credit, property valuation and data integrity
reviews as adequate. However, Moody's applied a TPR adjustment in
Moody's analysis due to the grade C property valuation and to
account for the risk that there may be other loans with grade C or
grade D credit or property valuation issues in the non-sampled
portion of the pool. Also, the adjustment is partly due to the risk
that there may be loans with unidentified data integrity issues in
the non-sampled portion of the pool.
Flagstar Bank, FSB as the originator, makes the loan-level
representation and warranties (R&Ws) for the mortgage loans. The
loan-level R&Ws are strong and, in general, either meet or exceed
the baseline set of credit-neutral R&Ws Moody's have identified for
US RMBS. Further, R&W breaches are evaluated by an independent
third party using a set of objective criteria. The transaction
contains a "prescriptive" R&W framework in which the originator
makes comprehensive loan-level R&Ws and an independent reviewer
will perform detailed reviews to determine whether any R&Ws were
breached when (1) loans become 120 days delinquent (2) the servicer
stops advancing, (3) the loan is liquidated at a loss or (4) the
loan becomes between 30 days and 120 days delinquent and is
modified by the servicer. These reviews are prescriptive in that
the transaction documents set forth detailed tests for each R&W
that the independent reviewer will perform. Should the reviewer
observe evidence of a breach of R&W during the regular course of
performing a test(s), such evidence may be considered, provided the
sponsor has the right to refute the claim or provide supporting
documentation or evidence. Moody's did however make an adjustment
to Moody's loss levels to incorporate the weaker financial strength
of the R&W provider.
Servicing arrangement
Moody's consider the overall servicing arrangement for this pool to
be adequate.
Servicing compensation for loans in this transaction is based on a
fee-for-service incentive structure. The fee-for-service incentive
structure includes an initial monthly base fee of $20.5 for all
performing loans and increases according to certain delinquent and
incentive fee schedules. By establishing a base servicing fee for
performing loans that increases with the delinquency of loans, the
fee-for-service structure aligns monetary incentives to the
servicer with the costs of the servicer. The fee-for-service
compensation is reasonable and adequate for this transaction. It
also better aligns the servicer's costs with the deal's performance
and structure. The Class B-6-C (NR) is first in line to absorb any
increase in servicing costs above the base servicing costs.
Delinquency and incentive fees will be deducted from the Class
B-6-C interest payment amount first and could result in interest
shortfall to the certificates depending on the magnitude of the
delinquency and incentive fees.
Trustee and master servicer
The transaction trustee is Wilmington Trust, N.A. The custodian
functions will be performed by Wells Fargo Bank, N.A. The paying
agent and cash management functions will be performed by Wells
Fargo Bank, N.A., rather than the trustee. In addition, Wells
Fargo, as master servicer, is responsible for servicer oversight,
and termination of servicers and for the appointment of successor
servicers. In addition, Wells Fargo is obligated to make servicing
advances if the servicer is unable to do so.
Tail risk & subordination floor
This deal has a shifting-interest structure, with a subordination
floor to protect against losses that occur late in the life of the
pool when relatively few loans remain (tail risk). When the total
senior subordination is less than 1.1% of the original pool
balance, the subordinate bonds do not receive any principal and all
principal is then paid to the senior bonds. In addition, if the
subordinate percentage drops below 6.0% of current pool balance,
the senior distribution amount will include all principal
collections and the subordinate principal distribution amount will
be zero. The subordinate bonds themselves benefit from a floor.
When the total current balance of a given subordinate tranche plus
the aggregate balance of the subordinate tranches that are junior
to it amount to less than 0.85% of the original pool balance, those
tranches do not receive principal distributions. Principal those
tranches would have received are directed to pay more senior
subordinate bonds pro-rata.
Based on an analysis of scenarios where the largest five to 10
loans in the pool default late in the life of the transaction,
Moody's viewed the 1.1% senior floor as slightly credit negative,
but not sufficiently so to merit an adjustment. Moody's viewed the
0.85% subordination floor as sufficiently credit negative to merit
an adjustment in Moody's rating analysis for the B-1, B-2 and B-3
tranches. As such, Moody's incorporated some additional sensitivity
runs in Moody's cashflow analysis in which Moody's increased the
losses to assess the potential impact to the bonds.
Transaction structure
The securitization has a shifting interest structure that benefits
from a senior subordination floor and a subordinate floor. Funds
collected, including principal, are first used to make interest
payments and then principal payments to the senior bonds, and then
interest and principal payments to each subordinate bond. As in all
transactions with shifting interest structures, the senior bonds
benefit from a cash flow waterfall that allocates all prepayments
to the senior bond for a specified period of time, and increasing
amounts of prepayments to the subordinate bonds thereafter, but
only if loan performance satisfies delinquency and loss tests.
The senior support NAS certificates (Class A-14) will only receive
their pro-rata share of scheduled principal payments allocated to
the senior bonds for five years, whereas all prepayments allocated
to the senior bonds will be paid to the super senior certificates,
leading to a faster buildup of super senior credit enhancement.
After year five, the senior support NAS bond will receive an
increasing share of prepayments in accordance with the shifting
percentage schedule.
On or prior to the accretion termination date (the earlier of (1)
the distribution date on which Class A-10 has been reduced to zero
and (2) the distribution date where the aggregate balance of
subordinate certificates has been reduced to zero), the
accretion-directed certificate (Class A-10) will be entitled to
receive as monthly principal distribution the accrued interest that
would otherwise be distributable to the accrual certificate (Class
A-12).
All certificates (except Class B-6-C) in this transaction are
subject to a net WAC cap. Class B-6-C will accrue interest at the
net WAC minus the aggregate delinquent servicing and aggregate
incentive servicing fee. For any distribution date, the net WAC
will be the greater of (1) zero and (2) the weighted average net
mortgage rates minus the capped trust expense rate.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.
Exposure to extraordinary expenses
Certain extraordinary trust expenses (such as fees paid to the
reviewer, servicing transfer costs) in the FSMT 2018-1 transaction
are deducted directly from the available distribution amount. The
remaining trust expenses (which have an annual cap of $300,000 per
year) are deducted from the net WAC. Moody's believe there is a
very low likelihood that the rated certificates in FSMT 2018-1 will
incur any losses from extraordinary expenses or indemnification
payments from potential future lawsuits against key deal parties.
First, the loans are prime quality, 100 percent qualified mortgages
and were originated under a regulatory environment that requires
tighter controls for originations than pre-crisis, which reduces
the likelihood that the loans have defects that could form the
basis of a lawsuit. Second, the transaction has reasonably well
defined processes in place to identify loans with defects on an
ongoing basis. In this transaction, an independent breach reviewer
(Inglet Blair, LLC), named at closing must review loans for
breaches of representations and warranties when certain clear
defined triggers have been breached, which reduces the likelihood
that parties will be sued for inaction. Furthermore, the issuer has
disclosed the results of a compliance review covering all of the
mortgage loans and the results of a credit and valuation review
covering a sample of the mortgage loans by an independent third
party (Clayton Services LLC).
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
HPS LOAN 6-2015: S&P Assigns Prelim. B-(sf) Rating on Cl. E-R Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HPS Loan
Management 6-2015 Ltd.'s $517.85 million floating-rate notes.
The note issuance is collateralized loan obligation (CLO)
transaction backed primarily by broadly syndicated
speculative-grade senior secured term loans governed by collateral
quality tests. The transaction is a proposed refinancing of HPS
Loan Management 6-2015 Ltd. issued in April 2015, which we did not
rate.
The preliminary ratings are based on information as of Feb. 26,
2018. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The diversified collateral pool, which consists primarily of
broadly syndicated speculative-grade senior secured term loans that
are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
PRELIMINARY RATINGS ASSIGNED
HPS LOAN MANAGEMENT 6-2015 Ltd.(Refinancing And Extension)
Class Rating Amount
(mil. $)
X AAA (sf) 3.60
A1-R AAA (sf) 319.00
A2-R AA (sf) 96.25
B-R (deferrable) A (sf) 31.63
C-R (deferrable) BBB- (sf) 35.75
D-R (deferrable) BB- (sf) 19.25
E-R (deferrable) B- (sf) 12.38
Subordinated note NR 49.75
NR--Not rated.
JP MORGAN 2007-CIBC19: Moody's Affirms C Ratings on 3 Tranches
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the rating on one class in J.P. Morgan Chase
Commercial Mortgage Securities Corp. Series 2007-CIBC19:
Cl. A-J, Downgraded to Caa3 (sf); previously on Feb 24, 2017
Downgraded to Caa2 (sf)
Cl. B, Affirmed C (sf); previously on Feb 24, 2017 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Feb 24, 2017 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Feb 24, 2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on Class A-J was downgraded due to higher anticipated
losses from specially serviced loans. Loans representing 88% of the
pool are currently in special servicing.
The ratings on the remaining three P&I classes were affirmed
because the ratings are consistent with Moody's expected loss.
Moody's rating action reflects a base expected loss of 54% of the
current pooled balance, compared to 15% at Moody's last review.
Moody's base expected loss plus realized losses is now 15% of the
original pooled balance, essentially unchanged from the last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 88% of the pool is in
special servicing and Moody's has also identified a troubled loan
representing 6% of the pool. In this approach, Moody's determines a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then applies the aggregate loss
from specially serviced and troubled loans to the most junior
class(es) and the recovery as a pay down of principal to the most
senior class(es).
DEAL PERFORMANCE
As of the February 12, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 90% to $317 million
from $3.28 billion at securitization. The certificates are
collateralized by 21 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 75% of the pool. One loan, constituting 5%
of the pool, has defeased and is secured by US government
securities.
Fifty-nine loans have been liquidated from the pool, contributing
to an aggregate realized loss of $331 million (for an average loss
severity of 49%). Eighteen loans, constituting 88% of the pool, are
currently in special servicing. The largest specially serviced loan
is the Marriott - Farmington Loan ($36 million -- 12% of the pool),
which is secured by a 381-key full service hotel located in
Farmington, Connecticut, a suburb of Hartford. The loan transferred
to the special servicer for imminent default ahead of its scheduled
maturity date in March 2017. The occupancy for trailing twelve
month period ending October 2017 was 55%. The special servicer
indicated that foreclosure is being pursued.
The second largest specially serviced loan is the Harrisburg
Portfolio Loan ($34 million -- 11% of the pool), which is secured
by two REO office properties located in Camp Hill, Pennsylvania.
The loan was initially secured by a portfolio of eight office
properties, all in the Harrisburg area. The loan transferred to
special servicing in August 2011 for imminent default and the
properties became REO in March 2014. Six properties have been sold,
leaving two remaining properties, 200 Corporate Center Drive and
300 Corporate Center Drive, which measure approximately 60,000 and
175,000 square feet, respectively. 300 Corporate drive has recently
experienced positive leasing activity. Together, the remaining
properties were approximately 64% leased as of October 2017.
The third largest specially serviced loan is the LG Portfolio ($30
million -- 9% of the pool), which is secured by a portfolio of four
medical office buildings and five retail properties located in
North Carolina, Georgia, Tennessee, Pennsylvania, and Kansas. The
loan transferred to the special servicer in August 2016 due to
monetary default. The portfolio was approximately 61% occupied as
of June 2017.
The remaining 15 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $154 million loss
for the specially serviced loans (55% expected loss on average).
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 6% of the pool, and has estimated a
high loss severity for the loan.
The pool contains only one performing loan which is neither
troubled, specially serviced, nor defeased. This performing loan
represents approximately 1% of the pool balance and is secured by a
24,000 square foot single-tenant office property located in
Woodland Hills, California.
JP MORGAN 2017-6: DBRS Finalizes Prov. B Rating on Cl. B-5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage
Pass-Through Certificates, Series 2017-6 (the Certificates) issued
by J.P. Morgan Mortgage Trust 2017-6 as follows:
-- $830.8 million Class A-1 at AAA (sf)
-- $830.8 million Class A-2 at AAA (sf)
-- $777.8 million Class A-3 at AAA (sf)
-- $777.8 million Class A-4 at AAA (sf)
-- $622.2 million Class A-5 at AAA (sf)
-- $622.2 million Class A-6 at AAA (sf)
-- $155.6 million Class A-7 at AAA (sf)
-- $155.6 million Class A-8 at AAA (sf)
-- $119.0 million Class A-9 at AAA (sf)
-- $119.0 million Class A-10 at AAA (sf)
-- $36.5 million Class A-11 at AAA (sf)
-- $36.5 million Class A-12 at AAA (sf)
-- $53.0 million Class A-13 at AAA (sf)
-- $53.0 million Class A-14 at AAA (sf)
-- $830.8 million Class A-X-1 at AAA (sf)
-- $830.8 million Class A-X-2 at AAA (sf)
-- $777.8 million Class A-X-3 at AAA (sf)
-- $622.2 million Class A-X-4 at AAA (sf)
-- $155.6 million Class A-X-5 at AAA (sf)
-- $119.0 million Class A-X-6 at AAA (sf)
-- $36.5 million Class A-X-7 at AAA (sf)
-- $53.0 million Class A-X-8 at AAA (sf)
-- $13.7 million Class B-1 at AA (sf)
-- $14.1 million Class B-2 at A (sf)
-- $11.9 million Class B-3 at BBB (sf)
-- $6.2 million Class B-4 at BB (sf)
-- $2.7 million Class B-5 at B (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7 and A-X-8
are interest-only notes. The class balances represent notional
amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-11, A-13, A-X-2,
A-X-3 and A-X-5 are exchangeable certificates. These classes can be
exchanged for a combination of depositable certificates, as
specified in the offering documents.
Classes A-6, A-10 and A-12 are super-senior certificates. These
classes benefit from additional protection from the senior support
certificate (Class A-14) with respect to loss allocation.
The AAA (sf) ratings on the Certificates reflect the 6.00% of
credit enhancement provided by subordinated certificates in the
pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings
reflect 4.45%, 2.85%, 1.50%, 0.80% and 0.50% of credit enhancement,
respectively.
Other than the specified classes above, DBRS does not rate any
other classes in this transaction.
The Certificates are backed by 1,443 loans with a total principal
balance of $883,819,919 as of the Cut-Off Date (December 1, 2017).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years. Conforming mortgage loans,
which were eligible for purchase by Fannie Mae or Freddie Mac,
comprise 55.2% of the pool. For conforming loans, JPMorgan Chase
Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS) generally
delegates underwriting authority to the corresponding lenders and
does not subsequently review those loans. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section of the rating report.
The originators for the aggregate mortgage pool are JPMCB (48.6%);
loanDepot.com, LLC (12.5%); United Shore Financial Services (8.3%);
Caliber Home Loans, Inc. (6.8%); and various other originators,
each comprising less than 5.0% of the mortgage loans. Approximately
2.3% of the loans sold to the mortgage loan seller were acquired by
MAXEX, LLC, which purchased loans from the related originators or
an unaffiliated third party that directly or indirectly purchased
such loans from the related originators.
The loans will be serviced or sub-serviced by JPMCB (48.6%); New
Penn Financial, LLC doing business as Shellpoint Mortgage Servicing
(31.9%); Cenlar FSB (12.5%); and various other servicers, each
comprising less than 5.0% of the mortgage loans.
Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend
by DBRS) will act as the Master Servicer and Securities
Administrator. JPMCB and Wells Fargo will act as the Custodians.
U.S. Bank Trust National Association will serve as the Delaware
Trustee. Pentalpha Surveillance, LLC will serve as the
Representations and Warranties (R&W) Reviewer.
JP MORGAN 2018-ASH8: S&P Assigns B-(sf) Rating on Class F Certs
---------------------------------------------------------------
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8's
issuance is a CMBS transaction backed by one two-year,
floating-rate, interest-only commercial mortgage loan totaling
$395.0 million, with five one-year extension options, secured by
the fee simple and leasehold interests in eight full-service hotels
and by a first-lien mortgage encumbering all of the operating
lessees' rights in the properties.
S&P Global Ratings assigned its ratings to J.P. Morgan Chase
Commercial Mortgage Securities Trust 2018-ASH8's $395.0 million
commercial mortgage pass-through certificates.
The issuance is a commercial mortgage-backed securities transaction
backed by one two-year, floating-rate, interest-only commercial
mortgage loan totaling $395.0 million, with five one-year extension
options, secured by the fee simple and leasehold interests in eight
full-service hotels and by a first-lien mortgage encumbering all of
the operating lessees' rights in the properties.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and managers' experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8
Class Rating(i) Amount ($)
A AAA (sf) 111,600,000
X-CP BBB- (sf) 173,920,000(ii)
X-EXT BBB- (sf) 217,400,000(ii)
B AA- (sf) 37,400,000
C A- (sf) 30,300,000
D BBB- (sf) 38,100,000
E BB- (sf) 60,200,000
F B- (sf) 50,400,000
G NR 47,000,000
HRR NR 20,000,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Notional balance. The notional amount of the class X-CP
certificates references the aggregate certificate balances of the
A-2 portion of class A, B-2 portion of class B, C-2 portion of
class C, and D-2 portion of class D. The notional amount of the
class X-EXT certificates references the aggregate certificate
balances of the class A, B, C, and D certificates.
NR--Not rated.
LB-UBS COMMERCIAL 2007-C1: Fitch Cuts Class H Debt Rating to D
--------------------------------------------------------------
Fitch Ratings has taken various actions on already distressed bonds
in five U.S. commercial mortgage-backed securities (CMBS)
transactions.
One bond in one transaction has been downgraded to 'Dsf', as the
bond has incurred a principal write-down. The bond was previously
rated 'Csf', which indicated that a default was imminent.
Fitch has affirmed five classes in four transactions at 'Dsf' as a
result of previously incurred realized losses. The ratings on these
classes have also been withdrawn as they are no longer considered
by Fitch to be relevant to the agency's coverage. The trust
balances have been reduced to zero or the classes have experienced
non-recoverable realized losses.
The Affected Ratings are:
Bear Stearns Commercial Mortgage Securities Trust
Class K Debt -- Dsf Affirmed Then Withdrawn
Class L Debt -- Dsf Affirmed Then Withdrawn
LB-UBS Commercial Mortgage Trust 2007-C1
Class H Debt -- Csf Rating Lowered to Dsf
Merrill Lynch Mortgage Trust 2004-MKB1
Class P Debt -- Dsf Affirmed Then Withdrawn
Morgan Stanley Capital I Trust 1999-FNV1
Class L Debt -- Dsf Affirmed Then Withdrawn
Morgan Stanley Capital I Trust
Class J Debt -- Dsf Affirmed Then Withdrawn
KEY RATING DRIVERS
The downgrades are limited to the bonds with a principal
write-down. Any remaining bonds in the transaction have not been
analysed as part of this review.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover any
material amount of lost principal in the future, there is a limited
possibility this may happen. In this unlikely scenario, Fitch would
further review the affected classes.
MASTR ADJUSTABLE 2005-4: Moody's Withdraws Caa3 on 2 Tranches
-------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of Class A-3
and Class A-X issued by MASTR Adjustable Rate Mortgages Trust
2005-4.
Complete rating actions are:
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4
Cl. A-3, Withdrawn (sf); previously on Oct 19, 2016 Confirmed at
Caa3 (sf)
Cl. A-X, Withdrawn (sf); previously on Feb 12, 2018 Confirmed at
Caa3 (sf)
RATINGS RATIONALE
MASTR 2005-4 is a re-securitization transaction (Resec) backed by
18 underlying securities, one of which is Class 4-A-2 from CHL
Mortgage Pass-Through Trust 2004-14. Moody's withdrew the rating on
Class 4-A-2 on February 16, 2018 due to small pool factor. Because
the ratings on Resec bonds generally link to the ratings on the
underlying securities and their performance, Moody's cannot
maintain the ratings on Class A-3 and Class A-X of the MASTR 2005-4
transaction due to the withdrawal of the rating of the underlying
security.
Moody's has decided to withdraw the ratings because it believes it
has insufficient or otherwise inadequate information to support the
maintenance of the ratings.
MERRILL LYNCH 2005-MCP1: S&P Raises B(sf) Rating on Class F Certs
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class F commercial
mortgage pass-through certificates from Merrill Lynch Mortgage
Trust 2005-MCP1, a U.S. commercial mortgage-backed securities
(CMBS) transaction, and lowered its rating on class G.
S&P said, "For the upgrade, our expectation of credit enhancement
was in line with the raised rating level. While available credit
enhancement levels suggest further positive rating movement on
class F, our analysis also considered its susceptibility to reduced
liquidity support from the Prium Office Portfolio II specially
serviced loan comprising 90.1% of the trust balance.
"The downgrade on class G reflects accumulated interest shortfalls
(for four consecutive months) that we expect to remain outstanding
in the near term. According to the Feb. 12, 2018, trustee
remittance report, the current monthly interest shortfalls totaled
$40,023 and resulted primarily from appraisal subordinate
entitlement reduction amounts of $33,824 and special servicing fees
of $6,199. The current interest shortfalls affected classes
subordinate to and including class G."
TRANSACTION SUMMARY
As of the Feb. 12, 2018, trustee remittance report, the collateral
pool balance was $31.8 million, which is 1.8% of the pool balance
at issuance. The pool currently includes three loans, down from 111
loans at issuance. The Prium Office Portfolio II loan ($28.7
million, 90.1%) is the sole loan with the special servicer and no
loans are defeased or on the master servicer's watchlist.
Excluding the specially serviced loan, S&P calculated a 1.85x S&P
Global Ratings weighted average debt service coverage (DSC) and
33.8% S&P Global Ratings weighted average loan-to-value ratio using
a 7.80% S&P Global Ratings weighted average capitalization rate for
the two performing loans.
To date, the transaction has experienced $74.2 million in principal
losses, or 4.3% of the original pool trust balance. S&P expects
losses to reach approximately 4.6% of the original pool trust
balance in the near term, based on losses incurred to date and
additional losses S&P expects upon the eventual resolution of the
specially serviced loan.
CREDIT CONSIDERATIONS
As of the Feb. 12, 2018, trustee remittance report, the Prium
Office Portfolio II loan was the sole loan in the pool with the
special servicer, Midland Loan Services (Midland). The loan has a
total reported exposure of $33.5 million and is currently secured
by eight office properties totaling 291,111 sq. ft., located in
Lacey, Tumwater, Wenatchee, and Seattle, Wash. At origination, the
loan was backed by 11 office properties totaling 341,558 sq. ft.;
however the special servicer indicated that three properties have
been released. The loan was transferred to the special servicer on
April 15, 2013, due to payment default. Midland stated that
foreclosure proceeding was filed in March 2016 and is still pending
due to ongoing litigation. An appraisal reduction amount of $7.2
million is in effect against the loan. S&P expects a minimal loss
(less than 25%) upon its eventual resolution.
RATINGS LIST
Merrill Lynch Mortgage Trust 2005-MCP1
Commercial mortgage pass-through certificates series 2005-MCP1
Rating
Class Identifier To From
F 59022HHT2 B (sf) CCC- (sf)
G 59022HHU9 D (sf) CCC- (sf)
MONROE CAPITAL VI: Moody's Assigns (P)Ba3 Rating to Cl. E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to five
classes of notes to be issued by Monroe Capital MML CLO VI, Ltd.
Moody's rating action is as follows:
US$252,000,000 Class A Senior Floating Rate Notes due 2030 (the
"Class A Notes"), Assigned (P)Aaa (sf)
US$49,500,000 Class B Floating Rate Notes due 2030 (the "Class B
Notes"), Assigned (P)Aa2 (sf)
US$36,000,000 Class C Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class C Notes"), Assigned (P)A2 (sf)
US$28,125,000 Class D Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class D Notes"), Assigned (P)Baa3 (sf)
US$28,125,000 Class E Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class E Notes"), Assigned (P)Ba3 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes and the Class E Notes are referred to herein, collectively,
as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
RATINGS RATIONALE
Moody's provisional ratings of the Rated Notes address the expected
losses posed to noteholders. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of assets, the
transaction's legal structure, and the characteristics of the
underlying assets.
Monroe Capital MML CLO VI is a managed cash flow CLO. The issued
notes will be collateralized primarily by small and medium
enterprise loans. At least 95% of the portfolio must consist of
senior secured loans and eligible investments, and up to 5% of the
portfolio may consist of second lien loans and senior unsecured
loans. Moody's expect the portfolio to be approximately 75% ramped
as of the closing date.
Monroe Capital Management LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, no reinvestment is permitted.
In addition to the Rated Notes, the Issuer will issue subordinated
notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Diversity Score: 40
Weighted Average Rating Factor (WARF): 3460
Weighted Average Spread (WAS): 4.70%
Weighted Average Coupon (WAC): 7.50%
Weighted Average Recovery Rate (WARR): 43.2%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
The CLO permits the manager to determine RiskCalc-derived rating
factors, based on modifications to certain pre-qualifying
conditions applicable to the use of RiskCalc, for obligors
temporarily ineligible to receive Moody's credit estimates. Such
determinations are limited to a small portion of the portfolio.
Moody's rating analysis included a stress scenario in which Moody's
assumed a rating factor commensurate with a Caa2 rating for such
obligors.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 3460 to 3979)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 3460 to 4498)
Rating Impact in Rating Notches
Class A Notes: -1
Class B Notes: -3
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
MORGAN STANLEY 1999-WF1: Moody's Lowers Cl. X Certs Rating to Ca
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating on one class and
downgraded the rating on one class of Morgan Stanley Capital I Inc.
1999-WF1, Commercial Mortgage Pass-Through Certificates, Series
1999-WF1:
Cl. N, Upgraded to A1 (sf); previously on Mar 9, 2017 Upgraded to
Baa1 (sf)
Cl. X, Downgraded to Ca (sf); previously on Mar 9, 2017 Downgraded
to Caa2 (sf)
RATINGS RATIONALE
The rating on Class N was upgraded due to an increase in credit
support resulting from loan paydowns and amortization. The deal has
paid down 48.6% since Moody's last review and loans representing
40.8% of the pool are fully amortizing.
The rating on the interest-only class, Class X, was downgraded due
to the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
classes. .
Moody's does not anticipate losses from the remaining collateral in
the current environment. However, over the remaining life of the
transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Moody's ratings
reflect the potential for future losses under varying levels of
stress. Moody's base expected loss plus realized losses is now 0.4%
of the original pooled balance, essentially the same as at last
review. Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in July 2017. The methodologies used in rating Cl.
X were "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in June 2017 and "Moody's Approach to
Rating Large Loan and Single Asset/Single Borrower CMBS" published
in July 2017.
DEAL PERFORMANCE
As of the February 15, 2018 distribution date, the transaction's
aggregate certificate balance has decreased by 99.4% to $5.7
million from $968.5 million at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 59.2% of the pool. Three loans, constituting 6.5% of the
pool, have defeased and are secured by US government securities.
One loan, constituting 0.7% of the pool is on the master servicer's
watchlist. Seven loans have been liquidated from the pool,
resulting in an aggregate realized loss of $4.2 million (for an
average loss severity of 30%). There are not any loans currently in
special servicing.
Moody's received full or partial year 2017 operating results for
99% of the pool, and full year 2016 operating results for 100% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit LTV is 18%, compared to 21% at Moody's
last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 18% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.7%.
Moody's actual and stressed conduit DSCRs are 2.32X and greater
than 4.00X, respectively. Moody's actual DSCR is based on Moody's
NCF and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stress rate the agency applied to
the loan balance.
The top three conduit loans represent 79% of the pool balance. The
largest loan is the Vista Oaks Apartments Loan ($3.34 million --
59% of the pool), which is secured by a 108-unit garden style
apartment complex located in Martinez, California approximately 34
miles northeast from San Francisco. The property was 94% leased as
of September 2017, compared to 95% in December 2016. Historical
occupancy has been at least 93% leased since 2006. The loan has
paid down over 35% since securitization and is scheduled to mature
in June 2018. Moody's LTV and stressed DSCR are 25.7% and 4.00X,
respectively, compared to 27% and 3.80X at the last review.
The second largest loan is the Ward Offices/Retail Loan ($907,074
-- 16% of the pool), which is secured by three suburban office and
two unanchored retail properties located in Bel Air, Maryland
approximately 30 miles northeast of Baltimore. The properties were
92% leased as of September 2017, compared to 94% in September 2016
and 91% in June 2015. The Loan is fully amortizing, has paid down
over 93% since securitization and is scheduled to pay off in
October 2018. Moody's LTV and stressed DSCR are 4% and 4.00X,
respectively, compared to 10% and 4.00X at the last review.
The third largest loan is the Fiesta Shopping Loan ($233,956 -- 4%
of the pool), which is secured by 92,600 SF Fiesta supermarket
anchored retail strip center located in Dallas, Texas. The property
was 100% leased as of December 2017 to 18 unique tenants. The loan
is fully amortizing, has paid down over 96% since securitization
and is scheduled to pay off in July 2018. Moody's LTV and stressed
DSCR are 2.5% and 4.00X, respectively, compared to 8.1% and 4.00X
at the last review.
MORGAN STANLEY 2011-C2: Fitch Cuts Class H Certs Rating to CCC
--------------------------------------------------------------
Fitch Ratings downgrades one class and affirms nine classes of
Morgan Stanley Capital I Trust (MSCI) commercial mortgage
pass-through certificates series 2011-C2.
KEY RATING DRIVERS
Increased Certainty of Loss: The downgrade to class H reflects a
higher certainty of loss due to the continued underperformance of
the specially serviced Towne West Square Mall.
Towne West Square Mall (6.1% of the pool) transferred to special
servicing in February 2017 due to imminent monetary default. Per
the most recent servicer reporting, the amortizing loan remained
current. However, the YTD September 2017 servicer-reported NOI debt
service coverage ratio (DSCR) for the property was 1.02x, a
decrease from the reported YE 2016 NOI DSCR of 1.33x. A cash flow
sweep was triggered in November 2017.
The loan is secured by a 448,760 sf portion of a 945,000 sf
regional mall located in Wichita, KS. Collateral occupancy has
declined to 62.6%, as of the September 2017 rent roll, with
approximately one-third of the collateral square footage scheduled
to roll in the next year.
The mall also includes non-collateral anchors occupied by JCPenney,
Dick's Sporting Goods, and a recently converted Dillard's Clearance
Center (formerly Dillard's Men & Children). A 160,000 sf
non-collateral anchor space formerly occupied by Dillard's Women &
Home is now dark.
Further, the subject's West Wichita neighborhood has seen several
store closings and vacant buildings in recent years, including a
nearby Kmart, which closed in March 2017, and the recently
announced closing of the adjacent Babies R Us.
Regional Mall Concentration: Portions of regional malls secure
three of the four largest loans in the pool (41.5%). The Deerbrook
Mall (18.2% of the pool) is secured by a 554,461 sf portion of a
1.2 million sf regional mall located in Humble, TX, approximately
15 miles northeast of Houston while the Ingram Park Mall (17.2% of
the pool) is secured by a 374,859 sf portion of a 1.1 million sf
regional mall located in San Antonio, TX. Both are anchored by
non-collateral Dillard's, Sears, Macy's and JCPenney. While the
malls continue to perform with high occupancies, tenant sales have
trended down over the last few years. The fourth largest loan in
the pool is secured by the specially serviced Towne West Square
Mall.
Fitch performed an additional sensitivity scenario on the larger
two regional malls to reflect the potential for higher losses; the
rating outlooks reflect this analysis.
Fitch Loans of Concern (FLOCS): In addition to Towne West Square
Mall, four other loans (12.3% of the pool) are considered FLOCS,
including another specially serviced loan (0.8% of the pool). 129nd
Avenue Plaza, transferred to special servicing in June 2017 after
the borrower executed a major lease without the prior written
consent of the servicer.
The other FLOCS include three loans in the top 15; Three Riverway
Office (6.3% of the pool) had significant damage related to
Hurricane Harvey. Repairs are ongoing and expected to be completed
within the first quarter of 2018. Riverside 5 (2.6% of the pool)
has seen an occupancy decline, while Cole Retail Portfolio (2.6% of
the pool) has significant upcoming roll.
Fitch continues to monitor these loans.
Paydown and Amortization: Credit enhancement continues to improve
due to paydown and amortization. As of the January 2018
distribution date, 37.5% of the transaction had been paid down.
Nine loans have been paid off in full since issuance. There have
been no realized losses to date. Approximately 4.8% of the pool is
currently defeased. Approximately 96.8% of the loans in the pool
are currently amortizing.
Portfolio Concentrations: 43 of the original 52 loans remain in the
pool. The top two loans comprise 35.4% of the pool while the top
five loans in the pool comprise 51.6% of the pool. Loans secured by
retail properties represent 57.7% of the pool, including five of
the top 15 loans in the pool. Loans secured by properties located
in Texas comprise 47.5% of the pool.
Maturity Schedule: Only one loan (1.8% of the pool) is scheduled to
mature in 2018. The next scheduled loan maturity is 2020 (one loan,
2% of the pool); with the remainder of the pool maturing in 2021
(41 loans; 96.2%).
RATING SENSITIVITIES
The Negative Outlooks assigned to classes C through G primarily
reflect concern over the regional mall concentration; including the
specially serviced Towne West Square Mall, where performance has
continued to decline over the past year and realized losses could
be substantial. Fitch ran additional sensitivity scenarios on the
two larger regional malls in the pool; and based on the results,
these classes could be subject to future downgrade. Rating Outlooks
for classes A-3 through B remain Stable due to the class's
significant credit enhancement. While there are minimal scheduled
loan maturities prior to 2021, 96.8% of the pool continues to
amortize. Upgrades to classes B and below are unlikely due to the
pool concentrations and prior to any resolution of Towne West
Square Mall, but may occur with improved pool performance and
additional class paydown or defeasance.
Fitch downgrades the following rating:
-- $15.2 million class H to 'CCCsf' from 'B-sf'; RE 80%.
Fitch affirms the following ratings and revises Outlooks as
indicated:
-- $64.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $439.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $503.7 million* class X-A at 'AAAsf'; Outlook Stable;
-- $45.5 million class B at 'AAsf'; Outlook Stable;
-- $50.1 million class C at 'Asf'; Outlook to Negative from
Stable;
-- $31.9 million class D at 'BBB+sf'; Outlook to Negative from
Stable;
-- $50.1 million class E at 'BBB-sf'; Outlook to Negative from
Stable;
-- $15.2 million class F at 'BB+sf'; Outlook Negative;
-- $12.1 million class G at 'BBsf'; Outlook Negative.
*Notional amount and interest-only
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class J and X-B certificates.
MORGAN STANLEY 2017-HR2: DBRS Finalizes B Rating on Cl. H-RR Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of Commercial Mortgage Pass-Through Certificates, Series
2017-HR2 to be issued by Morgan Stanley Capital I Trust 2017-HR2:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at AA (high) (sf)
-- Class C at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E-RR at BBB (low) (sf)
-- Class F-RR at BB (high) (sf)
-- Class G-RR at BB (low) (sf)
-- Class H-RR at B (sf)
All trends are Stable.
Classes X-D, D, E-RR, F-RR, G-RR and H-RR have been privately
placed. The Class X-A, X-B and X-D balances are notional.
Class X-B no longer references Class C and, as such, has a new
rating of AA (high) (sf), referencing just Class A-S and Class B.
The collateral consists of 42 fixed-rate loans secured by 82
commercial and multifamily properties. The transaction is a
sequential-pay pass-through structure. The conduit pool was
analyzed to determine the provisional ratings, reflecting the
long-term probability of loan default within the term and its
liquidity at maturity. The trust asset contributed from one loan,
representing 9.0% of the pool, is shadow-rated investment grade by
DBRS. Proceeds for shadow-rated loans are floored at their
respective ratings within the pool. When 9.0% of the pool has no
proceeds assigned below the rating floor, the resulting pool
subordination is diluted or reduced below that rated floor. The
second-largest loan, The Woods, is shadow-rated AA. When the
cut-off loan balances were measured against the DBRS Stabilized Net
Cash Flow and their respective actual constants, three loans,
representing 3.9% of the aggregate pool balance, had a DBRS Term
Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a
threshold indicative of a higher likelihood of mid-term default.
Additionally, to assess refinance risk given the current
low-interest-rate environment, DBRS applied its refinance constants
to the balloon amounts. This resulted in 28 loans, representing
64.6% of the pool, having refinance DSCRs below 1.00x, and 20
loans, representing 49.9% of the pool, with refinance DSCRs below
0.90x.
There are nine loans, representing 26.1% of the pool, that are
located in urban markets, which benefit from consistent investor
demand and increased liquidity even in times of stress. Of these,
two loans, totaling 3.7% of the transaction balance, are considered
to be located in Super-Dense Urban markets that DBRS defines as
gateway locations with extremely high liquidity and low cap rates.
Urban markets represented in the deal include New York; Washington,
D.C.; Sacramento, California; Las Vegas; and Detroit. Additionally,
only nine loans, totaling 9.7% of the transaction balance, are
considered to be located in tertiary/rural markets.
Four loans, totaling 21.3% of the pool, are backed by Strong
sponsors, all of which are in the top 15, including Extra Space
Storage Inc., Totowa Commons, Bakers Centre and Hampton Inn &
Suites Ballpark. Two loans, representing 4.6% of the pool, have
sponsorship and/or loan collateral associated with prior voluntary
bankruptcy, discounted payoff, loan default, civil judgment,
foreclosure, limited net worth/liquidity relative to the loan
obligation and/or inadequate commercial real estate experience.
Term default risk is moderate, as indicated by the strong
weighted-average DBRS Term DSCR of 1.96x. In addition, 23 loans,
representing 72.2% of the pool, have a DBRS Term DSCR in excess of
1.50x, which includes 12 of the top 15 loans. The DBRS Refinance
(Refi) DSCR is 0.99x, indicating a higher refinance risk on an
overall pool level. In addition, 28 loans, representing 64.6% of
the pool, have DBRS Refi DSCRs below 1.00x, including eight of the
top ten loans and 11 of the top 15. Twenty loans, representing
49.9% of the pool, have DBRS Refi DSCRs below 0.90x, including six
of the top ten.
Nineteen loans, representing 67.2% of the pool, including eight of
the largest ten loans, are structured with full-term interest-only
(IO) payments. An additional 12 loans, comprising 18.7% of the
pool, including two in the top ten, have partial IO periods
remaining that range from 22 months to 60 months. Five of the
full-term IO loans, representing 28.3% of the full IO concentration
in the transaction, are located in urban markets. Of these, three
loans, totaling 5.5% of the concentration, have excellent locations
in immensely infill Super-Dense Urban markets that benefit from
steep investor demand. Additionally, no loans of the full IO
concentration are located in a tertiary/rural market.
The deal appears concentrated by property type, with 15 loans,
representing 37.9% of the pool, secured by retail properties. Of
the retail property concentration, 79.8% is considered Anchored
Retail, with the remaining 20.2% considered Unanchored Retail.
Anchored Retail properties have shown lower rates of default
historically compared with Unanchored Retail. Excluding two loans
secured by mixed-used properties, 173 Court Street and 275 North
Washington, the deal retail concentration drops slightly to 36.1%.
Classes X-A, X-B and X-D are IO certificates that reference a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated reference tranche adjusted upward by one
notch if senior in the waterfall.
MSBAM 2014-C19: DBRS Confirms B Rating on Class X-F Certs
---------------------------------------------------------
DBRS Limited confirmed the ratings for all classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-C19 issued by
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 as
follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
-- Class B at AA (sf)
-- Class X-C at A (sf)
-- Class C at A (low) (sf)
-- Class PST at A (low) (sf)
-- Class X-D at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class X-E at BB (sf)
-- Class E at BB (low) (sf)
-- Class X-F at B (sf)
-- Class F at B (low) (sf)
All trends are Stable. DBRS does not rate the first loss piece,
Class G.
The rating confirmations reflect the overall stable performance of
the transactions. At issuance, the collateral consisted of 77
fixed-rate loans secured by 114 commercial properties. As of the
November 2017 remittance, 76 loans remained in the pool with an
aggregate principal balance of $1.44 billion, representing a
collateral reduction of 1.9% since issuance as a result of the
unscheduled repayment of one loan and scheduled loan amortization.
There are currently ten loans (25.6% of the pool) with remaining
interest-only (IO) periods, ranging from one to 36 months, while
seven loans (20.8% of the pool) are structured with full IO terms.
Two loans (0.8% of the pool) are secured by collateral that was
fully defeased. To date, 69 loans (96.7% of the pool) reported
partial-year 2017 financials, while 73 loans (98.8% of the pool)
reported YE2016 financials. Based on the most recent year-end
financial reporting, the transaction had a weighted-average (WA)
debt service coverage ratio (DSCR) and WA Debt Yield of 1.74 times
(x) and 9.7%, respectively, compared with the DBRS WA Term DSCR and
WA Debt Yield of 1.58x and 8.6%, respectively.
The pool is concentrated by property type, as 16 loans,
representing 34.9% of the pool, are secured by office properties,
while 26 loans (24.6% of the pool) are secured by retail
properties, 9 loans (17.1% of the pool) are secured by multifamily
properties and 17 loans (16.4% of the pool) are secured by hotel
properties. By loan size, the pool is also concentrated, as the top
15 loans represent 64.8% of the pool. Based on the most recent cash
flows available, the top 15 loans reported a WA DSCR of 1.87x,
compared with the WA DBRS Term DSCR of 1.61x, which is reflective
of the 17.2% net cash flow growth over the DBRS issuance figures.
As of the November 2017 remittance, there are eight loans (10.7% of
the pool) on the servicer watchlist. The largest loan on the
watchlist, the One&Only Ocean Club (Prospectus ID#8, 3.8% of the
pool), has been on the watchlist since November 2015. According to
the servicer, the loan is on the watchlist for delinquent property
taxes. The servicer is monitoring the situation. The third largest
loan on the servicer's watchlist has been flagged because of damage
sustained during the recent hurricane season; business interruption
proceeds are being processed. Of the remaining six loans, two loans
(3.6% of the net rentable area (NRA)) were flagged because of the
near-term tenant rollover, three loans (1.3% of the NRA) were
flagged because of performance declines (all three loans are
secured by hotel properties) and one loan (0.6% of the pool) was
flagged because of deferred maintenance.
Classes X-A, X-B, X-C, X-D, X-E and X-F are IO certificates that
reference a single rated tranche or multiple rated tranches. The IO
ratings mirror the lowest-rated reference tranche adjusted upward
by one notch if senior in the waterfall.
NXT CAPITAL 2014-1: Moody's Affirms Ba2 Rating on Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by NXT Capital CLO 2014-1, LLC:
US$24,000,000 Class B-1-R Senior Secured Floating Rate Notes due
2026, Upgraded to Aaa (sf); previously on July 24, 2017 Assigned
Aa1 (sf)
US$5,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2026,
Upgraded to Aaa (sf); previously on July 24, 2017 Assigned Aa1
(sf)
US$37,250,000 Class C-R Secured Deferrable Floating Rate Notes due
2026, Upgraded to Aa3 (sf); previously on July 24, 2017 Assigned A1
(sf)
Moody's also affirmed the ratings on the following notes:
US$188,750,000 Class A-R Senior Secured Floating Rate Notes due
2026, Affirmed Aaa (sf); previously on July 24, 2017 Assigned Aaa
(sf)
US$16,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2026, Affirmed Baa1 (sf); previously on July 24, 2017 Assigned Baa1
(sf)
US$32,000,000 Class E Secured Deferrable Floating Rate Notes due
2026, Affirmed Ba2 (sf); previously on May 8, 2014 Assigned Ba2
(sf)
NXT Capital CLO 2014-1, LLC, originally issued in 2014 and
refinanced in 2017, is a collateralized loan obligation (CLO)
backed primarily by a portfolio of middle market loans. The
transaction's reinvestment period will end in April 2018.
RATINGS RATIONALE
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2018. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive buffer
relative to certain covenant requirements. In particular, Moody's
assumed that the deal will benefit from higher spread and assumed
recovery rate levels compared to the covenants. Moody's modeled a
WAS of 5.0% compared to 4.7% and an assumed recovery rate of 49.8%
versus the covenant of 45%. The deal has also benefited from a
shortening of the portfolio's weighted average life and stable
reported collateral quality and OC ratios since July 2017.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. Moody's normally updates such estimates
at least once annually, but if such updates do not occur, the
transaction could be negatively affected by any default probability
adjustments Moody's assumes in lieu of updated credit estimates.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes relative to the base case modeling
results, which may be different from the current public ratings of
the notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated
notes (by the difference in the number of notches versus the
current model output, for which a positive difference corresponds
to lower expected loss):
Moody's Adjusted WARF -- 20% (3659)
Class A-R: 0
Class B-1-R: 0
Class B-2-R: 0
Class C-R: +2
Class D-R: +2
Class E: +1
Moody's Adjusted WARF + 20% (5489)
Class A-R: 0
Class B-1-R: 0
Class B-2-R: 0
Class C-R: -2
Class D-R: -2
Class E: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. In its base case,
Moody's analyzed the collateral pool as having a performing par and
principal proceeds balance of $350.94 million, defaulted par of
$3.94 million, a weighted average default probability of 28.21%
(implying a WARF of 4574), a weighted average recovery rate upon
default of 49.77%, a diversity score of 39 and a weighted average
spread of 5.02% (before accounting for LIBOR floors).
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
NZCG FUNDING: Moody's Assigns Ba3 Rating to Class D-R Notes
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
CLO refinancing notes (the "Refinancing Notes") issued by NZCG
Funding Ltd.:
Moody's rating action is as follows:
US$540,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2031 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$101,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2031 (the "Class A-2-R Notes"), Assigned Aa2 (sf)
US$50,000,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class B-R Notes"), Assigned A2 (sf)
US$51,400,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Assigned Baa3 (sf)
US$34,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Assigned Ba3 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Guggenheim Partners Investment Management, LLC (the "Manager")
manages the CLO. It directs the selection, acquisition, and
disposition of collateral on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected
losses posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on February 26, 2018
(the "Refinancing Date") in connection with the refinancing of all
classes of secured notes (the "Refinanced Original Notes")
previously issued on February 25, 2015 (the "Original Closing
Date"). On the Refinancing Date, the Issuer used proceeds from the
issuance of the Refinancing Notes to redeem in full the Refinanced
Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: reinstatement and extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; and changes to
the overcollateralization test levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Performing par and principal proceeds balance: $845,000,000
Defaulted par: $0
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2950
Weighted Average Spread (WAS): 3.65%
Weighted Average Recovery Rate (WARR): 47.75%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Refinancing Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Refinancing
Notes (shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2950 to 3393)
Rating Impact in Rating Notches
Class A-1-R Notes: 0
Class A-2-R Notes: -2
Class B-R Notes: -2
Class C-R Notes: -1
Class D-R Notes: 0
Percentage Change in WARF -- increase of 30% (from 2950 to 3835)
Rating Impact in Rating Notches
Class A-1-R Notes: -1
Class A-2-R Notes: -3
Class B-R Notes: -4
Class C-R Notes: -2
Class D-R Notes: -1
OCP CLO 2014-5: S&P Assigns B-(sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement notes from OCP CLO 2014-5 Ltd.,
a collateralized loan obligation originally issued in 2014 that is
managed by Onex Credit Partners LLC. S&P withdrew its ratings on
the original class A-1, A-2, B, C, D, and E notes following payment
in full on the Feb. 26, 2018, refinancing date, as well as its
rating on the combination notes.
On the Feb. 26, 2018, refinancing date, the proceeds from the class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note issuances
were used to redeem the original class A-1, A-2, B, C, D, and E
notes as outlined in the transaction document provisions.
Therefore, S&P withdrew the ratings on the original notes, and it
is assigning ratings to the replacement notes.
The replacement notes are being issued via a proposed supplemental
indenture, which, in addition to outlining the terms of the
replacement notes, provide that: As of the refinancing date, the
original combination notes issued at closing will no longer be
outstanding. The stated maturity and reinvestment period will be
extended five years. The non-call period will be extended four
years.
The transaction adds to ability to use the non-model version of S&P
Global Ratings' CDO Monitor as an alternative to the model-based
approach.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios.
"In addition, our analysis considered the transaction's ability to
pay timely interest or ultimate principal, or both, to each of the
rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
OCP CLO 2014-5 Ltd./OCP CLO 2014-5 Corp.
Replacement class Rating Amount (mil. $)
A-1-R AAA (sf) 237.000
A-2-R AA (sf) 60.000
B-R A (sf) 26.000
C-R BBB- (sf) 22.400
D-R BB- (sf) 15.600
E-R B- (sf) 7.500
Preferred shares NR 51.465
RATINGS WITHDRAWN
OCP CLO 2014-5 Ltd./OCP CLO 2014-5 Corp.
Original class Rating
To From
A-1 NR AAA (sf)
A-2 NR AA (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
E NR B (sf)
Combination notes NR AA (sf)
NR--Not rated.
OCTAGON INVESTMENT 25: Moody's Assigns B1 Rating to Class F-N Notes
-------------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to the
following notes (the "Refinancing Notes") issued by Octagon
Investment Partners 25, Ltd. (the "Issuer"):
US$557,414,040 Class A-R Senior Secured Floating Rate Notes Due
2026 (the "Class A-R Notes"), Assigned Aaa (sf)
US$101,143,676 Class B-R Senior Secured Floating Rate Notes Due
2026 (the "Class B-R Notes"), Assigned Aa1 (sf)
US$9,657,853 Class C-N Secured Deferrable Mezzanine Floating Rate
Notes Due 2026 (the "Class C-N Notes"), Assigned A2 (sf)
US$4,952,745 Class D-N Secured Deferrable Mezzanine Floating Rate
Notes Due 2026 (the "Class D-N Notes"), Assigned Baa3 (sf)
US$2,476,372 Class E-1-N Secured Deferrable Junior Floating Rate
Notes Due 2026 (the "Class E-1-N Notes"), Assigned Ba3 (sf)
US$13,485,823 Class E-2-R Secured Deferrable Junior Floating Rate
Notes Due 2026 (the "Class E-2-R Notes"), Assigned Ba3 (sf)
US$1,238,186 Class F-N Secured Deferrable Junior Floating Rate
Notes Due 2026 (the "Class F-N Notes"), Assigned B1 (sf)
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of senior secured, broadly syndicated corporate loans.
Octagon Credit Investors, LLC (the "Manager") manages the CLO. It
directs the selection, acquisition, and disposition of collateral
on behalf of the Issuer.
RATINGS RATIONALE
Moody's ratings on the Refinancing Notes address the expected loss
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
The Issuer has issued the Refinancing Notes on February 22, 2018
(the "Refinancing Date") in connection with the refinancing of
certain classes of notes (the "Refinanced Original Notes")
previously issued on October 29, 2015 (the "Original Closing
Date"). On the Refinancing Date, the Issuer used the proceeds from
the issuance of the Refinancing Notes to redeem in full the
Refinanced Original Notes.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: increasing the concentration
limitation for second lien loans from 5.75% to 7.5%, amending the
collateral quality test matrix, and capping maturity amendments at
7.5%.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of each class of the Issuer's notes is subject to
uncertainty relating to certain factors and circumstances, and this
uncertainty could lead Moody's to change its ratings:
1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the Manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by the Manager or other transaction parties owing to embedded
ambiguities.
3) Collateral credit risk: Investing in collateral of better credit
quality, or better than Moody's expected credit performance of the
assets collateralizing the transaction can lead to positive CLO
performance. Conversely, a negative shift in the credit quality or
performance of the collateral can have adverse consequences for CLO
performance.
4) Deleveraging: During the amortization period, the pace of
deleveraging from unscheduled principal proceeds is an important
source of uncertainty. Deleveraging of the CLO could accelerate
owing to high prepayment levels in the loan market and/or
collateral sales by the Manager, which could have a significant
impact on the ratings. Note repayments that are faster than Moody's
current expectations will usually have a positive impact on CLO
notes, beginning with those notes having the highest payment
priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.
6) Weighted average life: The notes' ratings can be sensitive to
the weighted average life assumption of the portfolio, which could
lengthen owing to any decision by the Manager to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.
7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.
Together with the set of modeling assumptions described below,
Moody's conducted additional sensitivity analyses, which were
considered in determining the ratings assigned to the rated notes.
In particular, in addition to the base case analysis, Moody's
conducted sensitivity analyses to test the impact of a number of
default probabilities on the rated notes relative to the base case
modeling results. Below is a summary of the impact of different
default probabilities, expressed in terms of WARF level, on the
rated notes (shown in terms of the number of notches difference
versus the base case model output, where a positive difference
corresponds to a lower expected loss):
Moody's Assumed WARF - 20% (2227)
Class A-R: 0
Class B-R: 0
Class C-N: +4
Class D-N: +3
Class E-1-N: +1
Class E-2-R: +1
Class F-N: +2
Moody's Assumed WARF + 20% (3341)
Class A-R: 0
Class B-R: -1
Class C-N: -2
Class D-N: -1
Class E-1-N: -1
Class E-2-R: -1
Class F-N: -1
Loss and Cash Flow Analysis:
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
recovery rate, and weighted average spread, are based on its
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions
Performing par and principal proceeds balance: $905,515,990
Defaulted par: $1,140,169
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2784 (corresponding to a
weighted average default probability of 23.02%)
Weighted Average Spread (WAS): 3.50%
Weighted Average Recovery Rate (WARR): 47.0%
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of the
assets in the collateral pool. In each case, historical and market
performance and the collateral manager's latitude for trading the
collateral are also factors.
OCTAGON INVESTMENT XVII: S&P Assigns B-(sf) Rating on F-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2, B-R2,
C-R2, D-R2, E-R2, and F-R2 replacement notes, as well as to the new
class X notes, from Octagon Investment Partners XVII Ltd., a
collateralized loan obligation (CLO) originally issued in August
2013 that is managed by Octagon Credit Investors LLC. S&P withdrew
its ratings on the original class A-1-R, A-2-R, A-3-R, B-1-R,
B-2-R, C-R, D-R, E, and F notes following payment in full on the
Feb. 28, 2018, refinancing date.
On the Feb. 28, 2018, refinancing date, the proceeds from the
issuance of the replacement notes, combined with the proceeds of
the issuance of the class X notes and additional subordinated
notes, were used to redeem the currently outstanding notes.
Therefore, S&P withdrew its rating on the class A-1-R, A-2-R,
A-3-R, B-1-R, B-2-R, C-R, D-R, E, and F notes in line with their
full redemption, and it is assigning ratings to the replacement
notes.
The replacement notes are being issued via a supplemental
indenture.
Based on provisions in the supplemental indenture:
-- The replacement class A-1-R2, B-R2, C-R2, D-R2, E-R2, and F-R2
notes are expected to be issued at a lower spread than the original
notes.
-- An additional class X senior secured floating rate note will be
issued, which is expected to be paid down using interest proceeds
over the first seven periods of the reset transaction, ending on
the payment date in January 2020.
-- The transaction will also issue additional subordinated notes,
increasing the subordinated notes balance to approximately $51.402
million from $37.277 million.
-- The stated maturity will be extended 5.25 years, to January
2031.
-- The reinvestment period will be reinstated, now ending in
January 2023.
-- The non-call period will be extended to July 2019 for the class
A-1-R2 notes and extended to January 2020 for all other classes.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take further rating actions
as we deem necessary."
RATINGS ASSIGNED
Octagon Investment Partners XVII Ltd.
Replacement class Rating Amount (mil. $)
X AAA (sf) 5.50
A-1-R2 AAA (sf) 241.00
A-2-R2 NR 10.50
B-R2 AA (sf) 51.25
C-R2 A (sf) 26.00
D-R2 BBB- (sf) 21.75
E-R2 BB- (sf) 16.00
F-R2 B- (sf) 7.75
Subordinated notes NR 14.125
RATINGS WITHDRAWN
Octagon Investment Partners XVII Ltd.
Original class Rating
To From
A-1-R NR AAA (sf)
A-2-R NR AAA (sf)
A-3-R NR AAA (sf)
B-1-R NR AA (sf)
B-2-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E NR BB (sf)
F NR B (sf)
NR--Not Rated.
ONEMAIN FINANCIAL 2018-1: S&P Assigns BB(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to OneMain Financial
Issuance Trust 2018-1's $631.58 million personal consumer
loan-backed notes.
The note issuance is an asset-backed securities transaction backed
by personal consumer loan receivables.
The ratings reflect:
-- The availability of approximately 51.5%, 44.6%, 40.0%, 33.4%,
and 26.9% credit support to the class A, B, C, D, and E notes,
respectively, in the form of subordination, overcollateralization,
a reserve account, and excess spread. These credit support levels
are sufficient to withstand stresses commensurate with the ratings
on the notes based on S&P's stressed cash flow scenarios.
-- S&P said, "Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, our 'AAA (sf)' and 'AA (sf)' rating
on the class A and B notes will remain within one rating category
of the assigned ratings in the next 12 months, and our 'A (sf)',
'BBB (sf)', and 'BB (sf)' ratings on the class C, D, and E notes,
respectively, will remain within two rating categories of the
assigned 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively,
in the next 12 months, based on our credit stability criteria."
-- The timely interest and full principal payments expected to be
made under stressed cash flow modeling scenarios appropriate to the
assigned ratings.
-- The characteristics of the pool being securitized and
receivables expected to be purchased during the revolving period.
-- The operational risks associated with OneMain Holdings Inc.'s
hybrid business model.
-- The transaction's payment and legal structures.
RATINGS ASSIGNED
OneMain Financial Issuance Trust 2018-1
Class Rating Type Interest Amount
rate (%) (mil. $)
A AAA (sf) Senior 3.30 441.660
B AA (sf) Subordinate 3.61 57.240
C A (sf) Subordinate 3.77 36.750
D BBB (sf) Subordinate 4.08 38.700
E BB (sf) Subordinate 5.52 57.230
OZLM XXII: Moody's Assigns B3 Rating to Class E Notes
-----------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by OZLM XXII, Ltd.
Moody's rating action is as follows:
US$5,000,000 Class X Senior Secured Floating Rate Notes due 2031
(the "Class X Notes"), Assigned Aaa (sf)
US$312,000,000 Class A-1 Senior Secured Floating Rate Notes due
2031 (the "Class A-1 Notes"), Assigned Aaa (sf)
US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Assigned Aa2 (sf)
US$28,800,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class B Notes"), Assigned A2 (sf)
US$28,800,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Assigned Baa3 (sf)
US$24,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Assigned Ba3 (sf)
US$9,600,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Assigned B3 (sf)
The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the
Class B Notes, the Class C Notes, the Class D Notes and the Class E
Notes are referred to herein, collectively, as the "Rated Notes."
RATINGS RATIONALE
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to defaults
on the underlying portfolio of assets, the transaction's legal
structure, and the characteristics of the underlying assets.
OZLM XXII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 83% ramped as of the closing
date.
OZ CLO Management LLC (the "Manager") will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's 4.9 year reinvestment period.
Thereafter, the Manager may reinvest unscheduled principal payments
and proceeds from sales of credit risk assets, subject to certain
restrictions.
In addition to the Rated Notes, the Issuer assumed the one class of
subordinated notes outstanding under the OZLM V Funding Ltd.
indenture prior to the closing date and issued additional
subordinated notes of such class.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in August 2017.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $480,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2960
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 9 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2017.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was a component
in determining the ratings assigned to the Rated Notes. This
sensitivity analysis includes increased default probability
relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2960 to 3404)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A-2 Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2960 to 3848)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A-2 Notes: -4
Class B Notes: -4
Class C Notes: -2
Class D Notes: -1
Class E Notes: -3
PREFERREDPLUS TRUST: S&P Lowers CZN-1 Certs Rating to 'B-'
----------------------------------------------------------
S&P Global Ratings lowered its rating on PreferredPLUS Trust Series
CZN-1's $34.5 million preferred plus 8.375% trust certificates due
Oct. 1, 2046, to 'B-' from 'B' and placed it on CreditWatch with
negative implications.
S&P said, "Our rating on the certificates depends solely on our
rating on the underlying security, Frontier Communications Corp.'s
7.05% senior debentures due Oct. 1, 2046 ('B-/Watch Neg').
The rating action reflects the Feb. 7, 2018, lowering of S&P's
rating on the underlying security to 'B-' from 'B' and its
placement on CreditWatch with negative implications.
S&P may take subsequent rating actions on the certificates due to
the changes in S&P's rating assigned to the underlying security.
SACO I 2005-GP1: Moody's Hikes Ratings on 2 Tranches From Ba2
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of Class A-1 and
Class A-2 from SACO I Trust 2005-GP1, a transaction backed by
second-lien HELOC mortgage loans.
Complete rating actions are:
Issuer: SACO I Trust 2005-GP1
Cl. A-1, Currently Rated A3 (sf); previously on Jan 18, 2013
Downgraded to A3 (sf)
Cl. A-1, Underlying Rating: Upgraded to Baa3 (sf); previously on
Mar 13, 2017 Upgraded to Ba2 (sf)
Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook
Stable on Aug 08 2016)
Cl. A-2, Upgraded to Baa3 (sf); previously on Mar 13, 2017 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pool
and reflect Moody's updated loss expectations on the pool. The
ratings upgraded are the result of an increase in credit
enhancement available to the bonds, coupled with lowered loss
expectations on the pool.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in January 2018 from 4.8% in
January 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
SEQUOIA MORTGAGE 2018-3: Moody's Assigns Ba3 Rating to B-4 Debt
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust 2018-3 ("SEMT 2018-3"). The certificates are
backed by one pool of prime quality, first-lien mortgage loans,
including 170 agency-eligible high balance mortgage loans. The
assets of the trust consist of 719 fully amortizing, fixed rate
mortgage loans, substantially all of which have an original term to
maturity of 30 years. The borrowers in the pool have high FICO
scores, significant equity in their properties and liquid cash
reserves. CitiMortgage, Inc. will serve as the master servicer for
this transaction. There are two servicers in this pool: Shellpoint
Mortgage Servicing ("Shellpoint") (97.58%) and First Republic Bank
(2.42%).
The complete rating actions are as follows:
Issuer: Sequoia Mortgage Trust 2018-3
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.30%
in a base scenario and reaches 3.85% at a stress level roughly
consistent with the Aaa(sf) ratings. Moody's loss estimates are
based on a loan-by-loan assessment of the securitized collateral
pool using Moody's Individual Loan Level Analysis (MILAN) model.
Loan-level adjustments to the model included: adjustments to
borrower probability of default for higher and lower borrower DTIs,
borrowers with multiple mortgaged properties, self-employed
borrowers, origination channels and at a pool level, for the
default risk of HOA properties in super lien states. The adjustment
to Moody's Aaa stress includes adjustments related to origination
quality. The model combines loan-level characteristics with
economic drivers to determine the probability of default for each
loan, and hence for the portfolio as a whole. Severity is also
calculated on a loan-level basis. The pool loss level is then
adjusted for borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2018-3 transaction is a securitization of 719 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $ 479,814,196. There are 146 originators in this pool,
including loanDepot.com, LLC ("loanDepot") (16.9%). None of the
originators other than loanDepot.com, LLC contributed 10% or more
of the principal balance of the loans in the pool. The loan-level
third party due diligence review (TPR) encompassed credit
underwriting, property value and regulatory compliance. In
addition, Redwood has agreed to backstop the rep and warranty
repurchase obligation of all originators other than First Republic
Bank.
The loans were all aggregated by Redwood Residential Acquisition
Corporation ("Redwood"). Moody's consider Redwood, the mortgage
loan seller, as a stronger aggregator of prime jumbo loans compared
to its peers. As of December 2017 remittance report, there have
been no losses on Redwood-aggregated transactions that Moody's have
rated to date, and delinquencies to date have also been very low.
Moody's decreased Moody's base case and Aaa loss expectations for
loans acquired under Redwood's guidelines or with overlays by
Redwood.
16.9% of the mortgage loans were originated by loanDepot. Of these
loans, 52% were underwritten to GSE guidelines with Redwood
overlays. The remainder of the loans were underwritten to
loanDepot's prime jumbo underwriting guidelines. These loans
represent 8.1% by loan balance of the entire pool. Moody's consider
loanDepot's origination quality of residential prime jumbo loans to
be in line with its peers. as an originator of residential prime
jumbo loans. Moody's did not make an adjustment for loans
underwritten to loanDepot's prime jumbo guidelines.
Borrowers of the mortgage loans backing this transaction have
strong credit profile demonstrated by strong credit scores, high
down payment percentages and significant liquid reserves. Similar
to SEMT transactions Moody's rated recently, SEMT 2018-3 has a
weighted average FICO at 771 and a percentage of loan purpose for
home purchase at 63.1%, better than SEMT transactions issued
earlier last year, where weighted average original FICOs were
slightly below 770 and purchase money percentages were ranging from
40% to 60%.
Servicing considerations
Moody's assess the overall servicing arrangement for this pool as
adequate. The master servicer is CitiMortgage Inc. and the loans
will be serviced by Shellpoint Mortgage Servicing and First
Republic Bank.
The loans acquired from loanDepot are serviced by Cenlar. These
loans will be transferred post-closing from Cenlar to Shellpoint.
Given that the loanDepot loans represent 16.9% of the pool, Moody's
took into consideration Redwood's process for transferring this
amount of loans post-closing. As the servicing administrator,
Redwood will oversee the transfer of the loans. In the past,
Redwood has managed system-to-system transfers between Cenlar and
Shellpoint with minimal servicing disruption. Redwood will closely
monitor any exceptions and address them in a timely manner before
the distribution date statement is made available to
certificateholders. Moody's have not made any adjustments for this
transfer due to the adequate oversight by Redwood.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
view the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered. As
such, Moody's incorporated some additional sensitivity runs in
Moody's cash flow analysis in which Moody's increase the losses due
to potential interest shortfalls during the loan's liquidation
period in order to reflect this feature and to assess the potential
impact to the bonds.
Moody's believe there is a low likelihood that the rated securities
of SEMT 2018-3 will incur any losses from extraordinary expenses or
indemnification payments owing to potential future lawsuits against
key deal parties. First, the loans are prime quality and were
originated under a regulatory environment that requires tighter
controls for originations than pre-crisis, which reduces the
likelihood that the loans have defects that could form the basis of
a lawsuit. Second, Redwood, who initially retains the subordinate
classes and provides a back-stop to the representations and
warranties of all the originators except for FRB, has a strong
alignment of interest with investors, and is incentivized to
actively manage the pool to optimize performance. Third, historical
performance of loans aggregated by Redwood has been very strong to
date. Fourth, the transaction has reasonably well defined processes
in place to identify loans with defects on an ongoing basis. In
this transaction, an independent breach reviewer must review loans
for breaches of representations and warranties when a loan becomes
120 days delinquent, which reduces the likelihood that parties will
be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.15% of the closing pool balance, which
mitigates tail risk by protecting the senior bonds from eroding
credit enhancement over time.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 703 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 13 First Republic
loans 3 Prime Lending loans. For the 16 loans, Redwood Trust
elected to conduct a limited review, which did not include a TPR
firm check for TRID compliance.
Generally, for the full review loans, the sponsor or the originator
corrected all material errors identified by following defined
methods of error resolution under the TRID rule or TILA 130(b) as
per the proposed SFIG TRID framework. The sponsor or the originator
provided the borrower with a corrected Closing Disclosure and
letter of explanation as well as a refund where necessary. All
technical errors on the Loan Estimate were subsequently corrected
on the Closing Disclosure. Moody's believe that the TRID
noncompliance risk to the trust is immaterial due to the good-faith
efforts to correct the identified conditions.
There was one loan with a final event grade of "C" due to an issue
with compliance with the TRID rule. The condition cited by Clayton
included the minimum and/or maximum payment amounts were
inconsistent on the closing disclosure and either or both of the
"In 5 Years" total payment or total principal amounts were
under-disclosed. Moody's believe that such conditions are not
material and thus, Moody's did not make any adjustment for this
loan.
No TRID compliance reviews were performed on the limited review
loans. Therefore, there is a possibility that some of these loans
could have unresolved TRID issues. Moody's reviewed the initial
compliance findings of loans from the same originator where a full
review was conducted and there were no material compliance
findings. As a result, Moody's did not increase Moody's Aaa loss.
Each of the originators makes the loan-level R&Ws for the loans it
originated, except for loans acquired by Redwood from the Federal
Home Loan Bank of Chicago ("FHLB Chicago"). The mortgage loans
purchased by Redwood from the FHLB Chicago were originated by
various participating financial institution originators. For these
mortgage loans, FHLB Chicago will provide the loan-level R&Ws that
are assigned to the trust.
In line with other SEMT transactions, the loan-level R&Ws for SEMT
2018-3 are strong and, in general, either meet or exceed the
baseline set of credit-neutral R&Ws Moody's identified for US
RMBS.
Among other things, the R&Ws address property valuation,
underwriting, fraud, data accuracy, regulatory compliance, the
presence of title and hazard insurance, the absence of material
property damage, and the enforceability of the mortgage.
The R&W providers vary in financial strength, which include some
financially weaker originators. To mitigate this risk, Redwood will
backstop any R&W providers who may become financially incapable of
repurchasing mortgage loans, except for First Republic Bank, which
is one of the strongest originators. Moreover, a third-party due
diligence firm conducted a detailed review on the loans of all of
the originators, which mitigates the risk of unrated and
financially weaker originators.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
CitiMortgage Inc., as master servicer, is responsible for servicer
oversight, and termination of servicers and for the appointment of
successor servicers. In addition, CitiMortgage Inc. is committed to
act as successor if no other successor servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating US Prime RMBS" published in February 2015.
In addition, Moody's publishes a weekly summary of structured
finance credit ratings and methodologies, available to all
registered users of Moody's website, www.moodys.com/SFQuickCheck
Significant weight was put on judgment taking into account the
results of the modeling tools as well as the aggregate impact of
the third-party review and the quality of the servicers and
originators.
SEQUOIA MORTGAGE 2018-CH1: Moody's Gives Ba3 Rating to Cl. B-5 Debt
-------------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
classes of residential mortgage-backed securities (RMBS) issued by
Sequoia Mortgage Trust (SEMT) 2018-CH1, except for the
interest-only classes. The certificates are backed by one pool of
prime quality, first-lien mortgage loans.
SEMT 2018-CH1 is the third securitization that includes loans
acquired by Redwood Residential Acquisition Corporation ("Redwood"
or "Seller"), a subsidiary of Redwood Trust, Inc., under its
expanded credit prime loan program called "Redwood Choice".
Redwood's Choice program is a prime program with credit parameters
outside of Redwood's traditional prime jumbo program, "Redwood
Select." The Choice program expands the low end of Redwood's FICO
range to 661 from 700, while increasing the high end of eligible
loan-to-value ratios from 85% to 90%. The pool also includes loans
with non-QM characteristics (28.0%), such as debt-to-income ratios
up to 50.9%. Non-QM loans were acquired by Redwood under each of
the Select and Choice programs.
The assets of the trust consist of 587 fixed rate mortgage loans,
all of which are fully amortizing, except for two mortgage loans
that have an interest-only term. The mortgage loans have an
original term to maturity of 30 years. The loans were sourced from
multiple originators and acquired by Redwood. All of the loans
conform to the Seller's guidelines, except for loans originated by
First Republic Bank, which were originated to conform with First
Republic Bank's guidelines.
The transaction benefits from nearly 100% due diligence of data
integrity, credit, property valuation, and compliance conducted by
an independent third-party firm.
CitiMortgage, Inc. will act as the master servicer of the loans in
this transaction. Shellpoint Mortgage Servicing, First Republic
Bank and PHH Mortgage Corporation will be primary servicers on the
deal.
The complete rating actions are:
Issuer: Sequoia Mortgage Trust 2018-CH1
Cl. A-1, Assigned Aaa(sf)
Cl. A-2, Assigned Aaa(sf)
Cl. A-3, Assigned Aaa(sf)
Cl. A-4, Assigned Aaa(sf)
Cl. A-5, Assigned Aaa(sf)
Cl. A-6, Assigned Aaa(sf)
Cl. A-7, Assigned Aaa(sf)
Cl. A-8, Assigned Aaa(sf)
Cl. A-9, Assigned Aaa(sf)
Cl. A-10, Assigned Aaa(sf)
Cl. A-11, Assigned Aaa(sf)
Cl. A-12, Assigned Aaa(sf)
Cl. A-13, Assigned Aaa(sf)
Cl. A-14, Assigned Aaa(sf)
Cl. A-15, Assigned Aaa(sf)
Cl. A-16, Assigned Aaa(sf)
Cl. A-17, Assigned Aaa(sf)
Cl. A-18, Assigned Aaa(sf)
Cl. A-19, Assigned Aa1(sf)
Cl. A-20, Assigned Aa1(sf)
Cl. A-21, Assigned Aa1(sf)
Cl. A-22, Assigned Aaa(sf)
Cl. A-23, Assigned Aaa(sf)
Cl. A-24, Assigned Aaa(sf)
Cl. B-1A, Assigned Aa3(sf)
Cl. B-1B, Assigned Aa3(sf)
Cl. B-2A, Assigned A1(sf)
Cl. B-2B, Assigned A1(sf)
Cl. B-3, Assigned A3(sf)
Cl. B-4, Assigned Baa3(sf)
Cl. B-5, Assigned Ba3(sf)
RATINGS RATIONALE
Summary Credit Analysis
Moody's expected cumulative net loss on the aggregate pool is 0.85%
in a base scenario and reaches 10.35% at a stress level roughly
consistent with Aaa(sf) ratings. The MILAN CE may be different from
the credit enhancement that is consistent with a Aaa(sf) rating for
a tranche, because the MILAN CE does not take into account the
structural features of the transaction. Moody's took this
difference into account in Moody's ratings of the senior classes.
Moody's loss estimates are based on a loan-by-loan assessment of
the securitized collateral pool using Moody's Individual Loan Level
Analysis (MILAN) model. Loan-level adjustments to the model
included: adjustments to borrower probability of default for higher
and lower borrower DTIs, borrowers with multiple mortgaged
properties, self-employed borrowers, origination channels and at a
pool level, for the default risk of HOA properties in super lien
states. The adjustment to Moody's Aaa stress loss above the model
output also includes adjustments related to aggregator and
origination quality. The model combines loan-level characteristics
with economic drivers to determine the probability of default for
each loan, and hence for the portfolio as a whole. Severity is also
calculated on a loan-level basis. The pool loss level is then
adjusted for borrower, zip code, and MSA level concentrations.
Collateral Description
The SEMT 2018-CH1 transaction is a securitization of 587 first lien
residential mortgage loans, with an aggregate unpaid principal
balance of $441,340,702. There are more than 100 originators in
this pool, including Fairway (6.5%), the remaining contributed less
than 5% of the principal balance of the loans in the pool. The
loan-level third party due diligence review (TPR) encompassed
credit underwriting, property value and regulatory compliance. In
addition, Redwood has agreed to backstop the rep and warranty
repurchase obligation of all originators other than First Republic
Bank.
SEMT 2018-CH1 includes loans acquired by Redwood under its Choice
program. Although from a FICO and LTV perspective, the borrowers in
SEMT 2018-CH1 are not the super prime borrowers included in
traditional SEMT transactions, these borrowers are prime borrowers
with a demonstrated ability to manage household finance. On
average, borrowers in this pool have made a 26.06% down payment on
a mortgage loan of $754,812. In addition, the majority of borrowers
have more than 24 months of liquid cash reserves or enough money to
pay the mortgage for two years should there be an interruption to
the borrower's cash flow. Moreover, the borrowers on average have a
monthly residual income of $16,763. The WA FICO is 742, which is
lower than traditional SEMT transactions, which has averaged 769 in
2017 SEMT transactions. The lower WA FICO for SEMT 2018-CH1 may
reflect recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are
allowed under the Choice program, but not under Redwood's
traditional product, Redwood Select (0x30x24). While the WA FICO
may be lower for this transaction, Moody's do not believe that the
limited mortgage lates demonstrates a history of financial
mismanagement.
Moody's also note that SEMT 2018-CH1 is the third SEMT transaction
to include a significant number of non-QM loans (157) compared to
previous SEMT transactions, where the number of non-QM loans was
limited. Previously, 2017-CH2 and 2017-CH1 had the largest number
of non-QM loans at 112 out of 420 and 108 loans out of 409 loans
respectively.
Redwood's Choice program is in its early stages, having been
launched by Redwood in April 2016. In contrast to Redwood's
traditional program, Select, Redwood's Choice program allows for
higher LTVs, lower FICOs, non-occupant co-borrowers,
non-warrantable condos, limited loans with adverse credit events,
among other loan attributes. Under both Select and Choice, Redwood
also allows for loans with non-QM features, such as interest-only,
DTIs greater than 43%, asset depletion, among other loan
attributes.
However, Moody's note that Redwood historically has been on average
stronger than its peers as an aggregator of prime jumbo loans,
including a limited number of non-QM loans in previous SEMT
transactions. As of the December 2017 remittance report, there have
been no losses on Redwood-aggregated transactions that Moody's have
rated to date, and delinquencies to date have also been very low.
While in traditional SEMT transactions, Moody's have factored this
qualitative strength into Moody's analysis, in SEMT 2018-CH1,
Moody's have a neutral assessment of the Choice Program until
Moody's are able to review a longer performance history of Choice
mortgage loans.
Structural considerations
Similar to recent rated Sequoia transactions, in this transaction,
Redwood is adding a feature prohibiting the servicer, or securities
administrator, from advancing principal and interest to loans that
are 120 days or more delinquent. These loans on which principal and
interest advances are not made are called the Stop Advance Mortgage
Loans ("SAML"). The balance of the SAML will be removed from the
principal and interest distribution amounts calculations. Moody's
view the SAML concept as something that strengthens the integrity
of senior and subordination relationships in the structure. Yet, in
certain scenarios the SAML concept, as implemented in this
transaction, can lead to a reduction in interest payment to certain
tranches even when more subordinated tranches are outstanding. The
senior/subordination relationship between tranches is strengthened
as the removal of SAML in the calculation of the senior percentage
amount, directs more principal to the senior bonds and less to the
subordinate bonds. Further, this feature limits the amount of
servicer advances that could increase the loss severity on the
liquidated loans and preserves the subordination amount for the
most senior bonds. On the other hand, this feature can cause a
reduction in the interest distribution amount paid to the bonds;
and if that were to happen such a reduction in interest payment is
unlikely to be recovered. The final ratings on the bonds, which are
expected loss ratings, take into consideration Moody's expected
losses on the collateral and the potential reduction in interest
distributions to the bonds. Furthermore, the likelihood that in
particular the subordinate tranches could potentially permanently
lose some interest as a result of this feature was considered. As
such, Moody's incorporated some additional sensitivity runs in
Moody's cash flow analysis in which Moody's increase the losses due
to potential interest shortfalls during the loan's liquidation
period in order to reflect this feature and to assess the potential
impact to the bonds.
Moody's believe there is a low likelihood that the rated securities
of SEMT 2018-CH1 will incur any losses from extraordinary expenses
or indemnification payments owing to potential future lawsuits
against key deal parties. First, the loans are prime quality and
were originated under a regulatory environment that requires
tighter controls for originations than pre-crisis, which reduces
the likelihood that the loans have defects that could form the
basis of a lawsuit. Second, Redwood (or a majority-owned affiliate
of the sponsor), who will retain credit risk in accordance with the
U.S. Risk Retention Rules and provides a back-stop to the
representations and warranties of all the originators except for
First Republic Bank, has a strong alignment of interest with
investors, and is incentivized to actively manage the pool to
optimize performance. Third, the transaction has reasonably well
defined processes in place to identify loans with defects on an
ongoing basis. In this transaction, an independent breach reviewer
must review loans for breaches of representations and warranties
when a loan becomes 120 days delinquent, which reduces the
likelihood that parties will be sued for inaction.
Tail Risk & Subordination Floor
The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
subordination floor of 1.70% ($7,502,792) of the closing pool
balance, which mitigates tail risk by protecting the senior bonds
from eroding credit enhancement over time.
Third-party Review and Reps & Warranties
One TPR firm conducted a due diligence review of 100% of the
mortgage loans in the pool. For 581 loans, the TPR firm conducted a
review for credit, property valuation, compliance and data
integrity ("full review") and limited review for 10 First Republic
loans. For the 10 loans, Redwood Trust elected to conduct a limited
review, which did not include a TPR firm check for TRID
compliance.
For the full review loans, the third party review found that the
majority of reviewed loans were compliant with Redwood's
underwriting guidelines and had no valuation or regulatory defects.
Most of the loans that were not compliant with Redwood's
underwriting guidelines had strong compensating factors.
Additionally, the third party review didn't identify material
compliance-related exceptions relating to the TILA-RESPA Integrated
Disclosure (TRID) rule for the full review loans.
For the full review loans, the TPR report identified four grade "C"
compliance-related conditions relating to the TILA-RESPA Integrated
Disclosure (TRID) rule. The conditions cited by Clayton included
the minimum and/or maximum payment amounts were inconsistent on the
closing disclosure and either or both of the "In 5 Years" total
payment or total principal amounts were under-disclosed. Moody's
believe that such conditions are not material and thus, Moody's did
not make any adjustments for these loans
No TRID compliance reviews were performed by the TPR firm on the
limited review loans. Therefore, there is a possibility that some
of these loans could have unresolved TRID issues. We, however
reviewed the initial compliance findings of loans from First
Republic Bank where a full review was conducted and there were no
material compliance findings. As a result, Moody's did not increase
Moody's Aaa loss for the limited review loans originated by First
Republic Bank.
The property valuation review conducted by the TPR firm consisted
of (i) a review of all of the appraisals for full review loans,
checking for issues with the comparables selected in the appraisal
and (ii) a value supported analysis for all loans. After a review
of the TPR appraisal findings, Moody's found the exceptions to be
minor in nature and did not pose a material increase in the risk of
loan loss.
Moody's has received the results of the inspection report or
appraisal confirmation for all the mortgage loans secured by
properties in the areas affected by FEMA Disaster areas. The
results indicate that the properties did not receive any material
damage. SEMT 2018-CH1 includes a representation that the pool does
not include properties with material damage that would adversely
affect the value of the mortgaged property.
The originators and Redwood have provided unambiguous
representations and warranties (R&Ws) including an unqualified
fraud R&W. There is provision for binding arbitration in the event
of dispute between investors and the R&W provider concerning R&W
breaches.
Trustee & Master Servicer
The transaction trustee is Wilmington Trust, National Association.
The paying agent and cash management functions will be performed by
Citibank, N.A. and the custodian functions will be performed by
Wells Fargo Bank, N.A., rather than the trustee. In addition,
CitiMortgage Inc., as Master Servicer, is responsible for servicer
oversight, and termination of servicers and for the appointment of
successor servicers. In addition, CitiMortgage is committed to act
as successor if no other successor servicer can be found.
Factors that would lead to an upgrade or downgrade of the ratings:
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
SLM STUDENT 2008-4: Fitch Affirms 'Bsf' Rating on Class B Notes
---------------------------------------------------------------
Fitch affirms various SLM Student Loan Trusts:
SLM Student Loan Trust 2008-4 (SLM 2008-4)
-- Class A-4 at 'Bsf'; Outlook Stable;
-- Class B at 'Bsf'; Outlook Stable.
SLM Student Loan Trust 2008-5 (SLM 2008-5)
-- Class A-4 at 'Bsf'; Outlook Stable;
-- Class B at 'Bsf'; Outlook Stable.
SLM Student Loan Trust 2008-6 (SLM 2008-6)
-- Class A-4 at 'Bsf'; Outlook Stable;
-- Class B at 'Bsf'; Outlook Stable.
For all three SLM trusts, the class A-4 notes miss their legal
final maturity date under both Fitch's credit and maturity base
cases. This technical default would result in interest payments
being diverted away from class B notes, causing them to default as
well. In affirming at 'Bsf' rather than 'CCCsf' or below, Fitch has
considered qualitative factors such as Navient's ability to call
the notes upon reaching 10% pool factor, and the revolving credit
agreement in place for the benefit of the noteholders, and the
eventual full payment of principal in modelling.
The trust has entered into a revolving credit agreement with
Navient by which it may borrow funds at maturity in order to pay
off the notes. Because Navient has the option but not the
obligation to lend to the trust, Fitch cannot give full
quantitative credit to this agreement. However, the agreement does
provide qualitative comfort that Navient is committed to limiting
investors' exposure to maturity risk.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans, with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently
'AAA'/Outlook Stable.
Collateral Performance for SLM 2008-4: Fitch assumes a default rate
of 22.75% and a 68.25% default rate under the 'AAA' credit stress
scenario. Fitch assumes a sustainable constant default rate of
4.0%, and a constant prepayment rate of 11.5% is used as the
sustainable rate in cash flow modeling. Fitch applies the standard
default timing curve in its credit stress cash flow analysis. The
claim reject rate is assumed to be 0.5% in the base case and 3.0%
in the 'AAA' case. The TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 8.5%, 16.9%, and
19.0%, respectively, and are used as the starting point in cash
flow modelling. Subsequent declines or increases are modelled as
per criteria. The borrower benefit is assumed to be approximately
0.07%, based on information provided by the sponsor.
Collateral Performance for SLM 2008-5: Fitch assumes a default rate
of 22.25% and a 66.75% default rate under the 'AAA' credit stress
scenario. Fitch assumes a sustainable constant default rate of
4.0%, and a constant prepayment rate of 11.5% is used as the
sustainable rate in cash flow modeling. Fitch applies the standard
default timing curve in its credit stress cash flow analysis. The
claim reject rate is assumed to be 0.5% in the base case and 3.0%
in the 'AAA' case. The TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 8.9%, 16.3%, and
19.7%, respectively, and are used as the starting point in cash
flow modelling. Subsequent declines or increases are modelled as
per criteria. The borrower benefit is assumed to be approximately
0.05%, based on information provided by the sponsor.
Collateral Performance for SLM 2008-6: Fitch assumes a default rate
of 22% and a 66% default rate under the 'AAA' credit stress
scenario. Fitch assumes a sustainable constant default rate of
4.0%, and a constant prepayment rate of 11.5% is used as the
sustainable rate in cash flow modeling. Fitch applies the standard
default timing curve in its credit stress cash flow analysis. The
claim reject rate is assumed to be 0.5% in the base case and 3.0%
in the 'AAA' case. The TTM levels of deferment, forbearance, and
income-based repayment (prior to adjustment) are 8.6%, 16.2%, and
20.2%, respectively, and are used as the starting point in cash
flow modelling. Subsequent declines or increases are modelled as
per criteria. The borrower benefit is assumed to be approximately
0.05%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. For SLM 2008-4 and SLM
2008-5, approximately 1% of the student loans are indexed to
T-Bill, and 99% are indexed to one-month LIBOR. For SLM 2008-6,
approximately 6% of the student loans are indexed to T-Bill, and
94% are indexed to one-month LIBOR. Fitch applies its standard
basis and interest rate stresses to this transaction as per
criteria.
Payment Structure: Credit enhancement (CE) is provided by excess
spread, overcollateralization, and for the Class A notes,
subordination. As of December 2017, total and senior parity ratios
for SLM 2008-4 (excluding the reserve) are 102.45% (2.4% CE) and
116.95% (14.5% CE) respectively. Liquidity support is provided by a
reserve sized at 0.25% of the pool balance, currently equal to the
floor of $999,985. Cash is not currently being released as total
parity is below release level of 102.55%. For SLM 2008-5, total and
senior parity ratios (excluding the reserve) are 103.78% (3.7% CE)
and 115.06% (13.1% CE) respectively. Liquidity support is provided
by the reserve, currently equal to the floor of $4,124,895. Cash is
not currently being released as total parity is below release level
of 103.79%. For SLM 2008-6, total and senior parity ratios
(excluding the reserve) are 101.01% (1.0% CE) and 112.22% (10.9%
CE) respectively. Liquidity support is provided by the reserve,
currently equal to the floor of $2,000,000. Cash is currently being
released for this trust as total parity is at release level of
101.01%.
Maturity Risk: Fitch's SLABS cash flow model indicates that the
notes are paid in full on or prior to the legal final maturity
dates under the commensurate rating scenario.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer, due to its extensive
track record as the largest servicer of FFELP loans.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating, given the strong
linkage to the U.S. sovereign by nature of the reinsurance and SAP
provided by ED. Sovereign risks are not addressed in Fitch's
sensitivity analysis.
Fitch conducted a CE sensitivity analysis by stressing both the
related lifetime default rate and basis spread assumptions. In
addition, Fitch conducted a maturity sensitivity analysis by
running different assumptions for the IBR usage and prepayment
rate. The results below should only be considered as one potential
model implied outcome as the transaction is exposed to multiple
risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
-- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
-- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
-- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
-- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
-- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf';
-- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf';
-- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'.
TOWD POINT 2018-1: Moody's Assigns Ba3 Rating to Class B1 Debt
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to eight
classes of notes issued by Towd Point Mortgage Trust 2018-1.
The notes are backed by one pool of seasoned, performing and
re-performing residential mortgage loans. The collateral pool is
comprised of 4,525 first and junior lien, balloon, adjustable,
fixed and step rate mortgage loans, and has a non-zero updated
weighted average FICO score of 657 and a weighted average current
LTV of 84.1% (for junior lien loans, LTV is calculated based on
junior lien balance over current valuation) as of December 31, 2017
(the "Statistical Calculation Date"). Approximately 81.9% of the
loans, as of the Statistical Calculation Date, in the collateral
pool have been previously modified. Select Portfolio Servicing,
Inc. is the servicer for the loans in the pool. FirstKey Mortgage,
LLC will be the asset manager for the transaction.
The complete rating actions are:
Issuer: Towd Point Mortgage Trust 2018-1
Cl. A1, Definitive Rating Assigned Aaa (sf)
Cl. A2, Definitive Rating Assigned Aa3 (sf)
Cl. A3, Definitive Rating Assigned Aa3 (sf)
Cl. A4, Definitive Rating Assigned A1 (sf)
Cl. B1, Definitive Rating Assigned Ba3 (sf)
Cl. B2, Definitive Rating Assigned B3 (sf)
Cl. M1, Definitive Rating Assigned A3 (sf)
Cl. M2, Definitive Rating Assigned Baa3 (sf)
RATINGS RATIONALE
Summary Credit Analysis and Rating Rationale
Moody's expected losses on TPMT 2018-1's collateral pool is 14.00%
in Moody's base case scenario. Moody's loss estimates take into
account the historical performance of the loans that have similar
collateral characteristics as the loans in the pool, and also
incorporate an expectation of a continued strong credit environment
for RMBS, supported by a current strong housing price environment.
The methodologies used in these ratings were "Moody's Approach to
Rating Securitisations Backed by Non-Performing and Re-Performing
Loans" published in August 2016 and "US RMBS Surveillance
Methodology" published in January 2017.
Collateral Description
TPMT 2018-1's collateral pool is primarily comprised of seasoned,
performing and re-performing mortgage loans. Approximately 81.9% of
the loans (as of the Statistical Calculation Date) in the
collateral pool have been previously modified. The majority of the
loans underlying this transaction exhibit collateral
characteristics similar to that of seasoned Alt-A mortgages.
Moody's based Moody's expected losses on the pool on Moody's
estimates of 1) the default rate on the remaining balance of the
loans and 2) the principal recovery rate on the defaulted balances.
The two factors that most strongly influence a re-performing
mortgage loan's likelihood of re-default are the length of time
that the loan has performed since modification, and the amount of
the reduction in monthly mortgage payments as a result of
modification. The longer a borrower has been current on a
re-performing loan, the less likely they are to re-default. As of
the Statistical Calculation Date, approximately 46.3% of the
borrowers of the loans in the collateral pool have been current on
their payments for the past 24 months.
Moody's estimated expected losses using two approaches -- (1)
pool-level approach, and (2) re-performing loan level analysis. In
the pool-level approach, Moody's estimated losses on the pool by
applying Moody's assumptions on expected future delinquencies,
default rates, loss severities and prepayments as observed on
similar seasoned collateral. Moody's projected future annual
delinquencies for eight years by applying an initial annual default
rate assumption adjusted for future years through delinquency
burnout factors. The delinquency burnout factors reflect Moody's
future expectations of the economy and the U.S. housing market.
Based on the loan characteristics of the pool and the demonstrated
pay histories, Moody's applied an initial expected annual
delinquency rate of 13.0% for the pool for year one. Moody's then
calculated future delinquencies using default burnout and voluntary
conditional prepayment rate (CPR) assumptions. Moody's aggregated
the delinquencies and converted them to losses by applying pool
specific lifetime default frequency and loss severity assumptions.
Moody's CPR and loss severity assumptions are based on actual
observed performance of seasoned loans and prior TPMT deals. In
applying Moody's loss severity assumptions, Moody's accounted for
the lack of principal and interest advancing in this transaction.
Moody's also conducted a loan level analysis on TPMT 2018-1's
collateral pool. Moody's applied loan-level baseline lifetime
propensity to default assumptions, and considered the historical
performance of seasoned loans with similar collateral
characteristics and payment histories. Moody's then adjusted this
base default propensity up for (1) adjustable-rate loans, (2) loans
that have the risk of coupon step-ups and (3) loans with high
updated loan to value ratios (LTVs). Moody's applied a higher
baseline lifetime default propensity for interest-only loans, using
the same adjustments. To calculate the final expected loss for the
pool, Moody's applied a loan-level loss severity assumption based
on the loans' updated estimated LTVs. Moody's further adjusted the
loss severity assumption upwards for loans in states that give
super-priority status to homeowner association (HOA) liens, to
account for potential risk of HOA liens trumping a mortgage.
For loans with deferred balances, Moody's assumed that 100% of the
remaining PRA amount and approximately 31% of the non-PRA deferred
principal balance on modified loans would be forgiven and not
recovered. The deferred balance in this transaction is $36,850,551,
representing approximately 5.2% of the total unpaid principal
balance (as of the Statistical Calculation Date). Loans that have
HAMP remaining principal reduction amount (PRA) totaled $3,501,272,
representing approximately 9.5% of total deferred balance. In
addition, 464 loans, or 10.3% of the pool, had current valuation
derived from previous BPO values or original appraisals but
adjusted for any appreciation or depreciation from previous
valuation date to current date using a Home Data Index (HDI).
Moody's applied a haircut to the property value to loans using this
approach. The updated property values for all other loans in the
pool were obtained within 12 months of the statistical calculation
date, December 31, 2017. The final expected loss for the collateral
pool reflects the due diligence findings of four independent third
party review (TPR) firms as well as Moody's assessment of TPMT
2018-1's representations & warranties (R&Ws) framework.
Transaction Structure
TPMT 2018-1 has a sequential priority of payments structure, in
which a given class of notes can only receive principal payments
when all the classes of notes above it have been paid off.
Similarly, losses will be applied in the reverse order of priority.
The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject
to the collateral adjusted net WAC and applicable available funds
cap. The Class A3 and A4 are variable rate notes where the coupon
is equal to the weighted average of the note rates of the related
exchange notes. The Class B1, B2, B3, B4 and B5 are variable rate
notes where the coupon is equal to the lesser of adjusted net WAC
and applicable available funds cap. There are no performance
triggers in this transaction. Additionally, the servicer will not
advance any principal or interest on delinquent loans.
Moreover, the monthly excess cash flow in this transaction, after
payment of certain expenses and indemnification amounts, if any,
will be fully captured to pay the principal balance of the bonds
sequentially, allowing for a faster paydown of the bonds.
Moody's coded TPMT 2018-1's cashflows using SFW®, a cashflow tool
developed by Moody's Analytics. To assess the final rating on the
notes, Moody's ran 96 different loss and prepayment scenarios
through SFW. The scenarios encompass six loss levels, four loss
timing curves, and four prepayment curves. The structure allows for
timely payment of interest and ultimate payment of principal with
respect to the notes by the legal final maturity.
Third Party Review
Four independent third party review (TPR) firms -- JCIII &
Associates, Inc. (subsequently acquired by American Mortgage
Consultants), Clayton Services LLC, AMC Diligence, LLC and Westcor
Land Title Insurance Company -- conducted due diligence for the
transaction. Due diligence was performed on 96.4% of the loans by
count in TPMT 2018-1's collateral pool for compliance, 96.4% for
data capture, 97.2% for pay string history, and 98.9% for title and
tax review. The TPR firms reviewed compliance, data integrity and
key documents to verify that loans were originated in accordance
with federal, state and local anti-predatory laws. The TPR firms
conducted audits of designated data fields to ensure the accuracy
of the collateral tape.
Based on Moody's analysis of the third-party review reports,
Moody's determined that a portion of the loans had legal or
compliance exceptions that could cause future losses to the trust.
Moody's incorporated an additional increase to Moody's expected
losses for these loans to account for this risk. FirstKey Mortgage,
LLC, retained Westcor to review the title and tax reports for the
loans in the pool, and will oversee Westcor and monitor the loan
sellers in the completion of the assignment of mortgage chains. In
addition, FirstKey expects a significant number of the assignment
and endorsement exceptions to be cleared within the first twelve
months following the closing date of the transaction.
Representations & Warranties
Our ratings reflect TPMT 2018-1's weak representations and
warranties (R&Ws) framework. The representation provider, FirstKey
Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's
obligations will be in effect for only thirteen months (through the
payment date in March 2019). The R&Ws themselves are weak because
they contain many knowledge qualifiers and the regulatory
compliance R&W does not cover monetary damages that arise from TILA
violations whose right of rescission has expired. While the
transaction provides a Breach Reserve Account to cover for any
breaches of R&Ws, the size of the account is small relative to TPMT
2018-1's aggregate collateral pool ($698 million as of the closing
date). An initial deposit of $1,450,000 will be remitted to the
Breach Reserve Account on the closing date, with an initial Breach
Reserve Account target amount of $2,485,414,.
Transaction Parties
The transaction benefits from a strong servicing arrangement.
Select Portfolio Servicing, Inc. will service 100% of TPMT 2018-1's
collateral pool. Moody's assess SPS higher compared to its peers.
Furthermore, FirstKey Mortgage, LLC, the asset manager, will
oversee the servicer, which strengthens the overall servicing
framework in the transaction. Wells Fargo Bank, NA and U.S. Bank
National Association are the Custodians of the transaction. The
Delaware Trustee for TPMT 2018-1 is Wilmington Trust, National
Association. TPMT 2018-1's Indenture Trustee is U.S. Bank National
Association.
Factors that would lead to an upgrade or downgrade of the ratings:
UP
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for better-than-expected performance include changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
DOWN
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligors defaulting or
deterioration in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market. Other reasons
for worse-than-expected performance include poor servicing, error
on the part of transaction parties, inadequate transaction
governance and fraud.
UBS COMMERCIAL 2018-C8: Fitch Assigns B- Rating to Cl. F-RR Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to UBS
Commercial Mortgage Trust 2018-C8 Commercial Mortgage Pass-Through
Certificates, Series 2018-C8 as follows:
-- $23,231,000 class A-1 'AAAsf'; Outlook Stable;
-- $68,276,000 class A-2 'AAAsf'; Outlook Stable;
-- $35,465,000 class A-SB 'AAAsf'; Outlook Stable;
-- $284,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $320,645,000 class A-4 'AAAsf'; Outlook Stable;
-- $731,617,000b class X-A 'AAAsf'; Outlook Stable;
-- $185,517,000b class X-B 'AA-sf'; Outlook Stable;
-- $84,920,000 class A-S 'AAAsf'; Outlook Stable;
-- $54,871,000 class B 'AA-sf'; Outlook Stable;
-- $45,726,000 class C 'A-sf'; Outlook Stable;
-- $20,987,000a class D 'BBBsf'; Outlook Stable;
-- $31,272,000ac class D-RR 'BBB-sf'; Outlook Stable;
-- $20,903,000ac class E-RR 'BBsf'; Outlook Stable;
-- $14,371,000 ac class F-RR 'B-sf'; Outlook Stable.
The following class is not rated:
-- $40,500,891ac class NR-RR.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
(c) Horizontal credit risk retention interest representing no less
than 5% of the estimated fair value of all classes of regular
certificates issued by the issuing entity as of the closing date.
Since Fitch published its expected ratings on Feb. 1, 2018, the
expected 'A-sf' rating on the interest-only class X-B has been
revised to 'AA-sf' based on the final deal structure and the
interest-only class X-D was withdrawn and removed from the final
deal structure.
The final ratings are based on information provided by the issuer
as of Feb. 23, 2018.
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 67 loans secured by 126
commercial properties having an aggregate principal balance of
$1,045,167,892 as of the cut-off date. The loans were contributed
to the trust by: UBS AG, Ladder Capital Finance LLC, Societe
Generale, Cantor Commercial Real Estate Lending, L.P., Rialto
Mortgage Finance, LLC, CIBC Inc., and Barclays Bank PLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 63.3% of the properties
by balance, cash flow analysis of 83.4% and asset summary reviews
on 100% of the pool.
KEY RATING DRIVERS
Higher Fitch Leverage than Recent Transactions: The pool's leverage
is higher than recent comparable Fitch-rated multiborrower
transactions. The pool's Fitch DSCR is 1.17x, which is lower than
the 2017 average of 1.26x. The pool's Fitch LTV is 107.2%, which is
worse than the 2017 average of 101.6%. Excluding credit opinion
loans, the pool's normalized Fitch DSCR and LTV are similar at
1.17x and 107.8%, compared to the 2017 averages of 1.21x and
107.2%, respectively.
Diverse Pool: The pool is less concentrated than recent Fitch-rated
transactions. The top 10 loans make up 43.4% of the pool, less than
the 2017 average of 53.1%. The pool's average loan size of $15.6
million is lower than the average of $20 million for 2017. The
concentration results in a loan concentration index (LCI) of 276,
less than the 2017 average of 398.
Weak Amortization: Based on the scheduled balance at maturity, the
pool is scheduled to pay down by 6.5%, which is below the 2017 and
2016 averages of 7.9% and 10.4%, respectively. Thirty-one loans
representing 57.1% of the pool are full-term, interest-only loans,
which is greater than the 2017 and 2016 averages of 46.1% and
33.3%, respectively. Additionally, 17 loans representing 19.2% of
the pool are partial-term, interest-only loans.
Lower Hotel Exposure: Loans secured by hotel properties represent
only 7.9% of the pool by balance, which is lower than the 2017
average of 15.8% for Fitch-rated transactions. Hotels have the
highest probability of default in Fitch's multiborrower model, all
else equal. Loans secured by office properties and mixed-use
properties that are predominantly office make up 28.7% of the pool.
Loans secured by retail properties and mixed-use properties that
are predominantly retail make up 26.1% of the pool. Office and
retail properties have an average probability of default in Fitch's
multiborrower model, all else equal.
RATING SENSITIVITIES
For this transaction, Fitch's NCF was 16.6% below the most recent
year's NOI for properties for which a full-year NOI was provided,
excluding properties that were stabilizing during this period.
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severities on defaulted loans and in
potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to the UBS
2018-C8 certificates and found that the transaction displays
average sensitivities to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result.
UBSCM 2018-NYCH: S&P Assigns B(sf) Rating on $31MM Class F Certs
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to UBSCM 2018-NYCH Mortgage
Trust's $300.0 million commercial mortgage pass-through
certificates.
The certificate issuance is CMBS securitization backed by one
three-year, floating-rate mortgage loan totaling $300.0 million
with two, one-year extension options. The mortgage loan is secured
by the fee interest in six limited-service and one extended-stay
hotel located in the Manhattan submarkets of Time Square, Midtown
South, and Downtown.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsors' and manager's experience, the
trustee-provided liquidity, the loan's terms, and the transaction's
structure.
RATINGS ASSIGNED
UBSCM 2018-NYCH Mortgage Trust
Class Rating(i) Amount ($)
A AAA (sf) 76,111,000
X-CP(ii) BBB- (sf) 154,252,000(iii)
X-NCP(ii) BBB- (sf) 154,252,000(iii)
B AA- (sf) 28,669,000
C A- (sf) 21,311,000
D BBB- (sf) 28,161,000
E BB- (sf) 38,441,000
F B (sf) 31,183,000
G NR 41,124,000
H NR 19,975,000
HRR NR 15,025,000
(i)The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the Securities Act
of 1933.
(ii)Interest only.
(iii)Notional balance. The notional amount of the class X-CP and
X-NCP certificates will be equal to the aggregate certificate
balance of the class A, class B, class C, and class D
certificates.
NR--Not rated.
VENTURE XII: S&P Assigns BB(sf) Rating on Class E-RR Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-RR, B-RR,
C-RR, D-RR, and E-RR replacement notes from Venture XII CLO Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
MJX Asset Management LLC. S&P withdrew its ratings on the
refinanced class A-R, B-R, C-R, D-R, and E-R notes from this
transaction following payment in full on the Feb. 28, 2018,
refinancing date.
On the Feb. 28, 2018, refinancing date, the proceeds from the class
A-RR, B-RR, C-RR, D-RR, and E-RR replacement note issuances were
used to redeem the class A-R, B-R, C-R, D-R, and E-R notes as
outlined in the transaction document provisions. S&P said,
"Therefore, we withdrew our ratings on the refinanced notes in line
with their full redemption, and we are assigning final ratings to
the new notes."
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest or ultimate principal,
or both, to each of the rated tranches.
"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deems
necessary."
RATINGS ASSIGNED
Venture XII CLO Ltd.
Replacement class Rating Amount (mil $)
A-RR AAA (sf) 475.00
B-RR AA (sf) 70.00
C-RR A (sf) 43.00
D-RR BBB (sf) 36.00
E-RR BB (sf) 42.00
RATINGS WITHDRAWN
Venture XII CLO Ltd. Rating
Original class To From
A-R NR AAA (sf)
B-R NR AA (sf)
C-R NR A (sf)
D-R NR BBB (sf)
E-R NR BB (sf)
NR--Not rated.
WAMU COMMERCIAL 2007-SL2: Fitch Affirms CC Rating on Cl. F Notes
----------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed nine classes of WaMu
Commercial Mortgage Securities Trust commercial mortgage
pass-through certificates, series 2007-SL2.
KEY RATING DRIVERS
Principal Paydown: The upgrades to classes B and D reflect the
increased credit enhancement from paydown and better than expected
recoveries on specially serviced assets. As of the January 2018
distribution date, the pool's aggregate principal balance has been
paid down by 90.4% to $80.5 million from $842.1 million at
issuance. No loans are defeased. Interest shortfalls are currently
impacting classes G through N. Two loans (2.1% of the remaining
pool balance) are in special servicing for payment default.
Collateral Quality: The pool has a high concentration of loans
secured by multifamily properties (84.7%) and mixed use properties
(15.3%) with a multifamily component. 51.9% of the remaining loans
are collateralized by properties located in a major metropolitan
area with 15.4% located the New York City metro area, 26.2% in the
Los Angeles metro area, and 10.3% in the Chicago metro area.
Small Balance: The average loan balance within the pool is
$665,000. Small balance loans traditionally have high loss
severities. Fitch utilized conservative cap rate and cash flow
scenarios for performing loans for purposes of this review to
mitigate concerns regarding the pool's property-type concentration
and collateral quality. Fitch's analysis also included an
additional sensitivity scenario to address the potential for higher
losses and the ratings reflect this additional analysis.
Extended Maturity Profile: 96.2% of the pool does not mature until
2036, leaving the pool susceptible to economic volatility over a
long time horizon. The majority of these loans are fully amortizing
(76.5%); however, scheduled monthly principal is limited due to the
loans amortizing over a 30 year schedule.
RATING SENSITIVITIES
The Rating Outlook on class B remains Stable following its upgrade
due to its seniority and expected continued paydown; however, the
rating is capped at 'Asf' due to the small balance nature of the
loans, which have historically high loss severities. Class D has
been upgraded to 'Bsf' and the Rating Outlook on class C has been
revised to Positive from Stable due to high credit enhancement and
the high number of performing loans remaining in the pool. Further
upgrades are possible with continued principal paydown but may be
limited if pool performance declines or loans transfer to special
servicing. Distressed classes (those rated below 'Bsf') may be
subject to further rating actions as losses are realized.
Fitch upgrades and/or revises Outlooks on the following classes as
indicated:
-- $11.2 million class B notes to 'Asf' from 'BBBsf'; Outlook
Stable;
-- $25.3 million class C notes at 'BBsf'; Outlook revised to
Positive from Stable;
-- $16.8 million class D notes to 'Bsf' from 'CCCsf'; Outlook
Stable assigned.
Fitch affirms the following classes:
-- $6.3 million class E notes at 'CCCsf'; RE 100%;
-- $7.4 million class F notes at 'CCsf'; RE 100%;
-- $13.5 million class G notes at 'Dsf'; RE 5%;
-- $0 class H notes at 'Dsf'; RE 0%;
-- $0 class J notes at 'Dsf'; RE 0%;
-- $0 class K notes at 'Dsf'; RE 0%;
-- $0 class L notes at 'Dsf'; RE 0%;
-- $0 class M notes at 'Dsf'; RE 0%.
The classes A and A-1A certificates are paid in full. Fitch does
not rate the class N certificates. Fitch previously withdrew the
rating on the interest-only class X certificates.
[*] Moody's Takes Action on $1.5BB of RMBS Issued 2005-2007
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 46 tranches,
from 22 transactions issued by various issuers and downgraded the
ratings of Morgan Stanley ABS Capital I Inc. Trust 2005-HE3 Class
M-3.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-4
Cl. M-2, Upgraded to B3 (sf); previously on Aug 28, 2014 Upgraded
to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-NC1
Cl. M-1, Upgraded to B1 (sf); previously on Mar 6, 2017 Upgraded to
B2 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Mar 6, 2017 Upgraded
to A1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP1
Cl. A-2C, Upgraded to Aa3 (sf); previously on Mar 6, 2017 Upgraded
to A2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP2
Cl. A-1, Upgraded to Ba1 (sf); previously on Mar 6, 2017 Upgraded
to B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11
Cl. A-1, Upgraded to Aaa (sf); previously on Apr 18, 2016 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Jun 12, 2015 Upgraded
to Caa3 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Apr 18, 2016 Upgraded
to Aa2 (sf)
Issuer: Argent Securities Inc., Series 2005-W2
Cl. M-2, Upgraded to Caa3 (sf); previously on Jul 2, 2015 Upgraded
to Ca (sf)
Cl. A-2C, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A1 (sf)
Cl. A-1, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to Aa3 (sf)
Issuer: Argent Securities Inc., Series 2005-W3
Cl. A-1, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A1 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded
to A1 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 25, 2015 Upgraded
to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC2
Cl. M-8, Upgraded to B3 (sf); previously on May 21, 2010 Downgraded
to C (sf)
Cl. M-7, Upgraded to B2 (sf); previously on Jun 23, 2016 Upgraded
to Caa2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC4
Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB6
Cl. M-1, Upgraded to B1 (sf); previously on Apr 21, 2016 Upgraded
to B2 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on Apr 21, 2016 Upgraded
to A3 (sf)
Cl. A-4, Upgraded to Aaa (sf); previously on Apr 21, 2016 Upgraded
to A2 (sf)
Issuer: First NLC Trust 2005-2
Cl. M-1, Upgraded to Aaa (sf); previously on Apr 20, 2016 Upgraded
to Aa3 (sf)
Issuer: GSAMP Trust 2006-HE1
Cl. A-1, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded
to Aa2 (sf)
Cl. A-2D, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded
to Aa2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 31, 2015 Upgraded
to Caa3 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-A
Cl. A-3, Upgraded to B2 (sf); previously on Mar 22, 2016 Upgraded
to Caa1 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on Mar 22, 2016 Upgraded
to Caa2 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT1
Cl. M-4, Upgraded to B2 (sf); previously on Jun 9, 2016 Upgraded to
Caa1 (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-WL2
Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 20, 2016 Upgraded
to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-OPT1
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to Caa3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE3
Cl. M-3, Downgraded to B1 (sf); previously on Mar 12, 2013 Affirmed
Ba1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-E
Cl. A-2, Upgraded to A2 (sf); previously on Oct 7, 2015 Upgraded to
Baa2 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on Oct 7, 2015 Upgraded
to Ba1 (sf)
Issuer: RAMP Series 2005-EFC4 Trust
Cl. M-3, Upgraded to Aaa (sf); previously on May 16, 2016 Upgraded
to A1 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on May 16, 2016 Upgraded
to B2 (sf)
Cl. M-2, Upgraded to Aaa (sf); previously on May 16, 2016 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to A1 (sf); previously on May 16, 2016 Upgraded
to Baa2 (sf)
Issuer: RASC Series 2007-KS3 Trust
Cl. A-I-4, Upgraded to Caa1 (sf); previously on Jun 25, 2015
Upgraded to Caa3 (sf)
Cl. A-II, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to Caa1 (sf)
Cl. A-I-3, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to Caa1 (sf)
Issuer: Saxon Asset Securities Trust 2005-4
Cl. A-2D, Upgraded to Aaa (sf); previously on Apr 20, 2016 Upgraded
to Aa2 (sf)
Cl. A-1B, Upgraded to Aaa (sf); previously on Apr 20, 2016 Upgraded
to Aa2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 22, 2015 Upgraded
to Caa3 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-1
Trust
Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 14, 2013 Affirmed
Ca (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The rating downgrade for Morgan Stanley ABS
Capital I Inc. Trust 2005-HE3 Class M-3 is due to outstanding
interest shortfalls that are unlikely to be recouped because of a
weak interest shortfall reimbursement mechanism. The actions
reflect the recent performance of the underlying pools and Moody's
updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in January 2018 from 4.8% in January
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
[*] Moody's Takes Action on $129.4MM of RMBS Issued 2005-2007
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four tranches
and downgraded the ratings of 12 tranches from three transactions,
backed by Alt-A and Option ARM RMBS loans, issued by multiple
issuers. Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2007-J2
Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Sep 19, 2016
Upgraded to Caa2 (sf)
Cl. 2-A-1, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-2, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-3, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-5, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-6, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-8, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-9, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-10, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-11, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-12, Downgraded to C (sf); previously on Sep 19, 2016
Confirmed at Caa3 (sf)
Cl. PO, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed
at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA16
Cl. A-1C, Upgraded to Baa1 (sf); previously on Aug 31, 2017
Upgraded to Ba1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS
Cl. 2-A1, Upgraded to Aa1 (sf); previously on Dec 29, 2017 Upgraded
to Aa2 (sf)
Cl. 2-A2, Upgraded to Aa2 (sf); previously on Dec 29, 2017 Upgraded
to A2 (sf)
Cl. 2-A3, Upgraded to Aa3 (sf); previously on Dec 29, 2017 Upgraded
to Baa1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectation on
the pools. The rating upgrades are a result of the improving
performance of the related pools and / or an increase in credit
enhancement available to the bonds. The rating downgrades are due
to the weaker performance of the underlying collateral and / or the
erosion of enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating CHL Mortgage Pass-Through Trust
2007-J2 Cl. 2-A-2 were "US RMBS Surveillance Methodology" published
in January 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in January 2018 from 4.8% in
January 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2018. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $138MM of Subprime RMBS Issued 2006
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 5 tranches,
from 2 transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series
2006-HE3 Trust
Cl. I-A, Upgraded to Caa3 (sf); previously on Jul 16, 2010
Downgraded to Ca (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust
Cl. A-4, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded
to Aa2 (sf)
Cl. M-1, Upgraded to A3 (sf); previously on Mar 31, 2017 Upgraded
to Baa3 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 31, 2017 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Mar 23, 2009 Downgraded
to C (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in the credit
enhancement available to the bonds. The rating action for Wells
Fargo Home Equity Asset-Backed Securities 2006-2 Trust Class M-3
also reflects a correction to the cash-flow model previously used
by Moody's in rating this transaction. In prior rating actions, the
cash flow modeling did not reimburse losses and arrears after the
tranches reached a zero balance, thus overestimating the projected
losses on some tranches. This error has now been corrected, and
rating actions reflects this change. The actions reflect the recent
performance of the underlying pools and Moody's updated loss
expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in January 2018 from 4.8% in January
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
[*] Moody's Takes Action on $436MM of RMBS Issued 2003-2005
-----------------------------------------------------------
Moody's Investors Service has upgraded ratings of 51 tranches and
downgraded one tranches from 19 US residential mortgage backed
transactions (RMBS), backed by Subprime loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2005-HE3
Cl. M-4, Upgraded to B3 (sf); previously on Mar 6, 2017 Upgraded to
Caa1 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE2
Cl. M3, Upgraded to B2 (sf); previously on Apr 13, 2016 Upgraded to
Caa2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC1
Cl. M-3, Upgraded to Ba3 (sf); previously on Jun 23, 2016 Upgraded
to B2 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Jun 23, 2016 Upgraded
to Caa2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on May 21, 2010
Downgraded to C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2004-NC2
Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 13, 2011
Downgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-CB2
Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 10, 2011
Downgraded to C (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Apr 21, 2016 Upgraded
to B3 (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-2
Cl. M-5, Upgraded to Ba1 (sf); previously on Apr 12, 2016 Upgraded
to Ba3 (sf)
Cl. M-6, Upgraded to Ba2 (sf); previously on Mar 17, 2017 Upgraded
to B1 (sf)
Cl. M-7, Upgraded to B3 (sf); previously on Mar 17, 2017 Upgraded
to Caa2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-WMC2
Cl. M-4, Upgraded to B1 (sf); previously on Mar 17, 2017 Upgraded
to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Mar 17, 2017 Upgraded
to Caa2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-WMC3
Cl. M-2, Upgraded to Baa3 (sf); previously on Apr 1, 2013 Upgraded
to Ba1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on Mar 17, 2017 Upgraded
to Ba2 (sf)
Cl. M-4, Upgraded to Ba2 (sf); previously on Mar 17, 2017 Upgraded
to Ba3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Mar 17, 2017 Upgraded
to B3 (sf)
Cl. M-6, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed
C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-4, Upgraded to B2 (sf); previously on Aug 6, 2015 Upgraded to
Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4
Cl. M-5, Downgraded to B1 (sf); previously on Sep 17, 2014 Upgraded
to Ba2 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Jun 25, 2015 Upgraded
to Caa2 (sf)
Issuer: RAMP Series 2005-RS1 Trust
Cl. A-I-5, Upgraded to A1 (sf); previously on May 18, 2016 Upgraded
to Baa1 (sf)
Cl. A-I-6, Upgraded to Aa3 (sf); previously on May 18, 2016
Upgraded to A3 (sf)
Cl. M-I-1, Upgraded to Caa1 (sf); previously on Jun 29, 2015
Upgraded to Caa3 (sf)
Cl. M-II-1, Upgraded to Aaa (sf); previously on Mar 28, 2017
Upgraded to Aa2 (sf)
Issuer: RAMP Series 2005-RS5 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded
to Aa1 (sf)
Cl. M-3, Upgraded to Aa2 (sf); previously on Mar 28, 2017 Upgraded
to Baa1 (sf)
Cl. M-4, Upgraded to A3 (sf); previously on Mar 28, 2017 Upgraded
to Ba1 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on Mar 28, 2017 Upgraded
to B3 (sf)
Issuer: RAMP Series 2005-RZ1 Trust
Cl. M-3, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded
to A1 (sf)
Cl. M-5, Upgraded to Aa2 (sf); previously on May 18, 2016 Upgraded
to A2 (sf)
Cl. M-6, Upgraded to Aa3 (sf); previously on May 18, 2016 Upgraded
to A3 (sf)
Cl. M-7, Upgraded to Baa1 (sf); previously on Jun 29, 2015 Upgraded
to Ba1 (sf)
Cl. M-8, Upgraded to Ba1 (sf); previously on Jun 29, 2015 Upgraded
to B1 (sf)
Cl. M-9, Upgraded to B3 (sf); previously on Jun 29, 2015 Upgraded
to Ca (sf)
Issuer: RASC Series 2005-EMX1 Trust
Cl. M-1, Upgraded to Baa1 (sf); previously on Aug 7, 2012
Downgraded to Ba2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded
to Ca (sf)
Issuer: RASC Series 2005-KS4 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded
to Aa1 (sf)
Cl. M-3, Upgraded to Aa3 (sf); previously on Mar 28, 2017 Upgraded
to A3 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Mar 28, 2017 Upgraded
to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2004-9
Cl. A5, Upgraded to Aaa (sf); previously on Mar 9, 2017 Upgraded to
Aa2 (sf)
Cl. A7, Upgraded to Aaa (sf); previously on Mar 9, 2017 Upgraded to
Aa2 (sf)
Cl. M1, Upgraded to A3 (sf); previously on Mar 9, 2017 Upgraded to
Ba1 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Mar 9, 2017 Upgraded to
B1 (sf)
Cl. M3, Upgraded to B2 (sf); previously on Mar 9, 2017 Upgraded to
B3 (sf)
Cl. M4, Upgraded to Caa3 (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-1
Cl. M2, Upgraded to Aa1 (sf); previously on Mar 31, 2017 Upgraded
to A1 (sf)
Cl. M3, Upgraded to Ba1 (sf); previously on Mar 31, 2017 Upgraded
to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-2
Cl. M2, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded
to A2 (sf)
Cl. M3, Upgraded to B3 (sf); previously on Jan 27, 2016 Upgraded to
Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-4HE
Cl. M-3, Upgraded to Baa1 (sf); previously on Mar 31, 2017 Upgraded
to Ba2 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. The
rating upgrades are primarily due to improvement of credit
enhancement available to the bonds and pay down of senior bonds.
The rating downgrade is due to the outstanding interest shortfall
that is unlikely to be recouped.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment rate.
The unemployment rate fell to 4.1% in January 2018 from 4.8% in
January 2017. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2018. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.
[*] Moody's Takes Action on $80M of Subprime RMBS Issued 2002-2005
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches,
and downgraded the ratings of 16 tranches, from 12 transactions
issued by various issuers.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation, Series 2002-HE1
Cl. B, Downgraded to B2 (sf); previously on Jan 23, 2017 Upgraded
to Ba1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2003-HE1
Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 5, 2013
Downgraded to A3 (sf)
Issuer: C-BASS 2003-CB6 Trust
Cl. M-1, Downgraded to B1 (sf); previously on Jul 21, 2014 Upgraded
to Ba2 (sf)
Issuer: CDC Mortgage Capital Trust 2003-HE1
Cl. B-1, Downgraded to Caa1 (sf); previously on Jan 13, 2017
Upgraded to B1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-5
Cl. AF-6, Downgraded to B1 (sf); previously on Apr 16, 2012
Confirmed at Baa2 (sf)
Cl. MV-2, Downgraded to B1 (sf); previously on Apr 16, 2012
Confirmed at Ba3 (sf)
Cl. MV-1, Downgraded to Baa3 (sf); previously on Apr 16, 2012
Confirmed at Baa2 (sf)
Issuer: Equity One Mortgage Pass-Through Trust 2002-3
Cl. B-1, Downgraded to C (sf); previously on May 3, 2012 Downgraded
to Ca (sf)
Cl. M-1, Downgraded to B2 (sf); previously on Mar 3, 2014
Downgraded to Ba3 (sf)
Cl. M-2, Downgraded to Caa3 (sf); previously on May 3, 2012
Downgraded to Caa1 (sf)
Issuer: Equity One Mortgage Pass-Through Trust 2002-4
Cl. M-1, Downgraded to B1 (sf); previously on Dec 28, 2017 Upgraded
to Ba1 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2003-6
Cl. M-1, Downgraded to B1 (sf); previously on Aug 7, 2014 Upgraded
to Ba1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Upgraded
to Ca (sf)
Issuer: RAMP Series 2004-RS4 Trust
Cl. M-II-2, Downgraded to Caa3 (sf); previously on Dec 6, 2017
Upgraded to B1 (sf)
Issuer: Soundview Home Loan Trust 2003-1
Cl. M-3, Downgraded to B1 (sf); previously on Feb 4, 2013
Downgraded to Ba1 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Affirmed
Caa3 (sf)
Issuer: Soundview Home Loan Trust 2005-2
Cl. M-4, Downgraded to B1 (sf); previously on Mar 6, 2013 Upgraded
to Ba2 (sf)
Issuer: Truman Capital Mortgage Loan Trust 2004-1
Cl. M-2, Downgraded to B1 (sf); previously on Oct 20, 2014 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The downgrades are primarily due to the
outstanding interest shortfalls on the bonds. The actions reflect
the recent performance of the underlying pools and Moody's updated
loss expectations on the pools. Class B issued by Asset Backed
Securities Corporation Series 2002-HE1 and Class B-1 issued by CDC
Mortgage Capital Trust 2003-HE1 were downgraded to reflect the
accumulated total losses on the bonds.
The downgrade on RAMP Series 2004-RS4 Trust Class M-II-2 is due to
the correction of the total credit enhancement available to the
bond. In the October 2017 remittance report, the trustee reported a
Group I ending pool balance, even though the pool was paid down,
resulting in too high of an available credit enhancement for the
M-II-2 bond in the previous rating review. This error has now been
corrected, and rating action reflects the correct total enhancement
available to the bond.
Classes M-1, M-2, and B-1 from Equity One Mortgage Pass-Through
Trust 2002-3 were downgraded due to the total credit enhancement
available to the bonds and the loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in January 2018 from 4.8% in January
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
[*] Moody's Takes Action on $857MM of RMBS Issued 2001-2007
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 40 tranches,
from 19 subprime RMBS transactions issued by various issuers.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes,
Series 2005-3
Cl. M-4, Upgraded to B1 (sf); previously on Apr 18, 2016 Upgraded
to B2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 17, 2009
Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE4
Cl. I-A-3, Upgraded to Ca (sf); previously on May 21, 2010
Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5
Cl. I-A-2, Upgraded to A1 (sf); previously on Mar 31, 2017 Upgraded
to A3 (sf)
Cl. I-A-3, Upgraded to A3 (sf); previously on Mar 31, 2017 Upgraded
to Baa2 (sf)
Cl. II-A, Upgraded to A1 (sf); previously on Mar 31, 2017 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Mar 31, 2017 Upgraded
to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1
Cl. M-3, Upgraded to B2 (sf); previously on Mar 31, 2017 Upgraded
to Caa3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC3
Cl. A-2, Upgraded to Ba1 (sf); previously on Apr 29, 2010
Downgraded to Caa1 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-4
Cl. M-4, Upgraded to Aaa (sf); previously on Dec 7, 2015 Upgraded
to Aa3 (sf)
Cl. M-5, Upgraded to Aa3 (sf); previously on Dec 7, 2015 Upgraded
to Baa2 (sf)
Cl. M-6, Upgraded to B2 (sf); previously on Dec 7, 2015 Upgraded to
Caa3 (sf)
Issuer: FBR Securitization Trust 2005-5
Cl. AV2-4, Upgraded to Aaa (sf); previously on Apr 22, 2016
Upgraded to Aa3 (sf)
Cl. M-1, Upgraded to Aa3 (sf); previously on Apr 22, 2016 Upgraded
to Baa1 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Sep 2, 2014 Upgraded to
Caa1 (sf)
Issuer: GSAMP Trust 2007-HSBC1
Cl. A, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded to
Aa2 (sf)
Cl. M-6, Upgraded to Caa2 (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-HE1
Cl. AV-2, Upgraded to Ba3 (sf); previously on Jul 14, 2010
Downgraded to Ca (sf)
Cl. AV-3, Upgraded to B2 (sf); previously on Jul 14, 2010
Downgraded to Ca (sf)
Cl. AV-4, Upgraded to B3 (sf); previously on Jul 14, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC1
Cl. A-4, Upgraded to Aaa (sf); previously on May 3, 2016 Upgraded
to Aa3 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Jun 25, 2015 Upgraded
to Ca (sf)
Issuer: RAMP Series 2001-RS2 Trust
Cl. A-II, Upgraded to Aa1 (sf); previously on Mar 18, 2013 Affirmed
A1 (sf)
Cl. M-II-1, Upgraded to A1 (sf); previously on Dec 19, 2013
Upgraded to Baa1 (sf)
Cl. M-II-2, Upgraded to A2 (sf); previously on Jul 7, 2014 Upgraded
to Baa2 (sf)
Cl. M-II-3, Upgraded to Baa3 (sf); previously on Jul 7, 2014
Upgraded to Ba2 (sf)
Issuer: RASC Series 2003-KS4 Trust
Cl. A-I-5, Upgraded to Aa1 (sf); previously on Mar 17, 2017
Upgraded to A1 (sf)
Cl. A-I-6, Upgraded to Aaa (sf); previously on Mar 17, 2017
Upgraded to Aa3 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-FR2
Cl. M-2, Upgraded to Ba2 (sf); previously on Jun 25, 2015 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 20, 2016 Upgraded
to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-OP1
Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 6, 2015 Upgraded
to B1 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Jun 24, 2016 Upgraded
to Caa2 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2005-OP2
Cl. M-3, Upgraded to B2 (sf); previously on Mar 24, 2017 Upgraded
to Caa2 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-CB1
Cl. AV-1, Upgraded to Aa3 (sf); previously on Feb 25, 2016 Upgraded
to A3 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-OP1
Cl. M-5, Upgraded to B1 (sf); previously on Mar 24, 2017 Upgraded
to B3 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded
to C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM1
Cl. A-2C, Upgraded to Baa1 (sf); previously on Mar 24, 2017
Upgraded to Ba3 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2005-BC1
Cl. M-3, Upgraded to Aaa (sf); previously on Mar 24, 2017 Upgraded
to A1 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Apr 11, 2016 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement
available to the bonds. The rating actions for certain deals also
reflect a correction to the cash-flow model previously used by
Moody's in rating these transactions. In prior rating actions, the
cash flow modeling used for Morgan Stanley ABS Capital I Inc. Trust
2006-NC1 Class M2 and Specialty Underwriting and Residential
Finance Trust, Series 2005-BC1 Class M-4 did not reimburse losses
and arrears after the tranches reached a zero balance, thus
overestimating the projected losses on some tranches. This error
has now been corrected, and rating actions reflects this change.
The actions also reflect the recent performance of the underlying
pools and Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in January 2017.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.1% in January 2018 from 4.8% in January
2017. Moody's forecasts an unemployment central range of 3.5% to
4.5% for the 2018 year. Deviations from this central scenario could
lead to rating actions in the sector. House prices are another key
driver of US RMBS performance. Moody's expects house prices to
continue to rise in 2018. Lower increases than Moody's expects or
decreases could lead to negative rating actions. Finally,
performance of RMBS continues to remain highly dependent on
servicer procedures.
[*] S&P Puts 31 Ratings on 16 US RMBS Deals on Watch Positive
-------------------------------------------------------------
S&P Global Ratings placed its ratings on 31 classes from 16 U.S.
residential mortgage-backed securities (RMBS) transactions on
CreditWatch with positive implications. The transactions were
issued between 2005 and 2007 and are backed by various collateral
types.
In July 2014, a settlement was reached regarding the alleged breach
of certain representations and warranties in the governing
agreements of 330 JPMorgan Chase & Co. legacy RMBS trusts. The
settlement called for JPMorgan Chase & Co. and some of its direct
and indirect subsidiaries to pay out $4.5 billion to the trustees
of these related RMBS trusts. Pursuant to a judicial notice filed
on Jan. 3, 2018, settlement funds were distributed to some of these
trustees on Jan. 25, 2018, while certain other trusts are subject
to additional proceedings concerning settlement distributions. The
CreditWatch placements reflect a potential increase in credit
support available to these classes due to these payments. Based on
the agreement, the payments were allocated either as subsequent
recoveries or unscheduled principal payments, based on transaction
documents. The CreditWatch placements affect 30 subprime
transactions and one reperforming transaction.
S&P said, "Over the next few weeks, we will review the payment
information and remittance report data on these transactions to
determine the degree of additional credit support available to, and
any resulting upgrades on, these transactions. We expect the
majority of the upgrades to be within one rating category; however,
some ratings may experience upgrades of greater than one
category."
A list of Affected Ratings can be viewed at:
http://bit.ly/2t1BhTA
[*] S&P Takes Various Actions on 108 Classes From 25 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 108 classes from 25 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2003 and 2007. All of these transactions are backed by
subprime collateral. The review yielded 55 upgrades, 12 downgrades,
and 41 affirmations.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by our projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance/delinquency trends;
-- Historical missed interest payments;
-- Priority of principal payments; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
A vast majority of the classes with ratings raised by three or more
notches have benefited from failing cumulative loss triggers. Since
these transactions' cumulative loss triggers are failing (in
effect), the most senior classes in the payment priority are
receiving all scheduled and unscheduled principal allocations. This
resulted in locking out principal to subordinate classes and
building credit support for these classes. Ultimately, we believe
these classes have credit support that is sufficient to withstand
losses at higher rating levels.
On July 29, 2014, a settlement was reached in the litigation
regarding the alleged breach of certain representations and
warranties in the governing agreements of 330 JPMorgan Chase & Co.
legacy RMBS trusts, including JPMorgan Mortgage Acquisition Trust
2006-NC2. On Jan. 25, 2018, it received approximately $24.3 million
in settlement funds. These funds were allocated to pay principal on
senior classes and to reimburse prior write-downs on classes M-2
and M-3, increasing their balances and ultimately increasing credit
support for the senior classes. As a result, S&P raised the ratings
on the senior classes as it believes the additional credit support
is sufficient to withstand losses at higher rating levels.
S&P raised its ratings on four classes by five or more notches due
to expected short duration. Based on the classes' average recent
principal allocation, they are projected to pay down in a short
period of time relative to projected loss timing, limiting their
exposure to potential losses.
A list of Affected Ratings can be viewed at:
http://bit.ly/2CO5S72
[*] S&P Takes Various Actions on 118 Classes From 25 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings, on Feb. 23, 2018, completed its review of 118
classes from 25 U.S. residential mortgage-backed securities (RMBS)
transactions issued between 2002 and 2007. All of these
transactions are backed by subprime collateral. The review yielded
52 upgrades, four downgrades, 61 affirmations, and one
discontinuance.
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations include:
-- Collateral performance and delinquency trends;
-- Erosion of or increases in credit support;
-- Historical interest shortfalls and missed interest payments;
-- Priority of principal payments;
-- Expected short duration; and
-- Available subordination and/or overcollateralization.
Rating Actions
The affirmations of ratings reflect S&P's opinion that its
projected credit support and collateral performance on these
classes has remained relatively consistent with its prior
projections.
JPMorgan Mortgage Acquisition Corp. 2005-OPT1, JPMorgan Mortgage
Acquisition Corp. 2005-OPT2, JPMorgan Mortgage Acquisition Corp.
2005-FLD1, and JPMorgan Mortgage Acquisition Trust 2007-CH1
received funds related to a July 29, 2014, settlement regarding the
alleged breach of certain representations and warranties in the
governing agreements of 330 JPMorgan Chase & Co. legacy RMBS
trusts. Settlement proceeds for these transactions were distributed
per the January 2018 trustee remittance statement. The trustee
applied the settlement funds as subsequent recoveries and
unscheduled principal payments. S&P said, "As a result, we upgraded
15 classes from these transactions because their credit support
sufficiently increased to cover our projected losses at higher
rating levels. The allocations also satisfied the amount
outstanding on one of the classes, and we are now discontinuing the
rating on this class."
S&P said, "We lowered our rating on class M4 from Aames Mortgage
Investment Trust 2005-2 to 'CC (sf)' from 'BBB+ (sf)' after
assessing the impact of interest shortfalls on this class. We based
this downgrade on our cash flow projections, which show that
ultimate repayment of the interest shortfalls on this class is
unlikely at higher rating levels."
A list of Affected Ratings can be viewed at:
http://bit.ly/2BQtQS4
*********
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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